Enforcement of latency determinism across a computer network

ABSTRACT

The disclosed embodiments relate to implementation of a transaction processing system having improved equity among the communications paths between the ingress/egress points of the trading system network, where electronic data transaction messages originated from, or are destined, for different sources/destinations, effectively enter or exit the trading system, to/from the transaction processing component thereof, i.e., the match engine, market data feed generator, where those messages are ultimately processed and outbound messages reflective thereof are generated. The disclosed embodiments attempt to compensate for variances in latencies as between different network communications routes between the electronic ingress/egress points of the electronic trading system and the internal processing components which implement the functions of the trading system.

RELATED APPLICATIONS

This application claims priority to and the benefit as a continuation ofU.S. patent application Ser. No. 16/158,726, filed Oct. 12, 2018,entitled, “ENFORCEMENT OF LATENCY DETERMINISM ACROSS A COMPUTERNETWORK”, now U.S. patent Ser. No. ______, issued ______, which claimsthe benefit of the filing date under 35 U.S.C. § 119(e) of U.S.Provisional Application Ser. No. 62/668,353, filed May 8, 2018, theentirety of all which are incorporated by reference herein and reliedupon.

BACKGROUND

A financial instrument trading system, such as a futures exchange,referred to herein also as an “Exchange”, such as the Chicago MercantileExchange Inc. (CME), provides a contract market where financialinstruments, for example futures, options on futures and spreadcontracts, are traded among market participants, e.g. traders, brokers,etc. Futures is a term used to designate all contracts for the purchaseor sale of financial instruments or physical commodities for futuredelivery or cash settlement, and which are traded on a commodity futuresexchange. A futures contract is a standardized legally binding agreementto buy (long) or sell (short) a commodity or financial instrument at aspecified price at a predetermined future time. An option is the right,but not the obligation, to sell (put) or buy (call) the underlyinginstrument (for example, a futures contract) at a specified price withina specified time. The commodity or instrument to be delivered infulfillment of the contract, or alternatively the commodity, instrumentor reference for which the cash market price shall determine the finalsettlement price of the futures contract, is known as the contract's“underlying” reference, instrument or commodity, also referred to as the“underlier.” The terms and conditions of each futures contract arestandardized as to the specification of the contract's underlier, thequality and quantity of such underlier, delivery date, and means ofcontract settlement, i.e. physical delivery or cash settlement. CashSettlement is a method of settling a futures contract whereby theparties effect final settlement when the contract expires bypaying/receiving the pecuniary loss/gain of the contract, e.g. bycomparing the contract price to the market price or other referenceprice of the underlier at the time of settlement, related to thecontract in cash, rather than by effecting physical delivery, i.e. theactual exchange of the underlying reference or commodity at a pricedetermined by the futures contract.

Typically, the Exchange provides for centralized “clearing” by which alltrades are confirmed and matched, and open positions are settled eachday until expired (such as in the case of an option), offset ordelivered. Matching, which is a function typically performed by theExchange, is a process, for a given order which specifies a desire tobuy or sell a quantity of a particular instrument at a particular price,of seeking/identifying one or more wholly or partially, with respect toquantity, satisfying counter orders thereto, e.g. a sell counter to anorder to buy, or vice versa, for the same instrument at the same, orsometimes better, price (but not necessarily the same quantity), whichare then paired for execution to complete a trade between the respectivemarket participants (via the Exchange) and at least partially satisfythe desired quantity of one or both of the order and/or the counterorder, with any residual unsatisfied quantity left to await anothersuitable counter order, referred to as “resting.”

A “Clearing House,” which is typically an adjunct to the Exchange andmay be an operating division thereof, is responsible for settlingtrading accounts, clearing trades, collecting and maintainingperformance bond funds, regulating delivery, and reporting trading datato market regulators and to the market participants. An essential roleof the clearing house is to mitigate credit risk via the clearingprocess. Clearing is the procedure through which the Clearing Housebecomes buyer to each seller of a futures contract, and seller to eachbuyer, also referred to as a “novation,” and assumes responsibility forprotecting buyers and sellers from financial loss due to breach ofcontract, by assuring performance on each contract. A clearing member isa firm qualified to clear trades through the Clearing House.

Current financial instrument trading systems allow traders to submitorders and receive confirmations, market data, and other informationelectronically via a communications network. These “electronic”marketplaces, implemented by, and also referred to as, “electronictrading systems,” are an alternative trading forum to pit based tradingsystems whereby the traders, or their representatives, all physicallystand in a designated location, i.e. a trading pit, and trade with eachother via oral and visual/hand-based communication.

In particular, electronic trading of financial instruments, such asfutures contracts, is conducted by market participants sending orders,such as to buy or sell one or more futures contracts, in electronic formto the Exchange. These electronically submitted orders to buy and sellare then matched, if possible, by the Exchange, i.e. by the Exchange'smatching engine, to execute a trade. Outstanding (unmatched, whollyunsatisfied/unfilled or partially satisfied/filled) orders aremaintained in one or more data structures or databases referred to as“order books,” such orders being referred to as “resting,” and madevisible, i.e., their availability for trading is advertised, to themarket participants through electronic notifications/broadcasts,referred to as market data feeds. An order book is typically maintainedfor each product, e.g. instrument, traded on the electronic tradingsystem and generally defines or otherwise represents the state of themarket for that product, i.e. the current prices at which the marketparticipants are willing buy or sell that product. As such, as usedherein, an order book for a product may also be referred to as a marketfor that product.

A market data feed, referred to as market data or market feed, is acompressed or uncompressed real time (with respect to market events), orsubstantial approximation thereof, data/message stream provided by theExchange directly, or via a third-party intermediary. A market data feedmay be comprised of individual messages, each comprising one or morepackets or datagrams, and may carry, for example, pricing or otherinformation regarding orders placed, traded instruments and other marketinformation, such as summary values and statistical values, orcombinations thereof, and may be transmitted, e.g. multi-casted, to themarket participants using standardized protocols, such as UDP overEthernet. More than one market data feed, each, for example, carryingdifferent information, may be provided. Pricing information conveyed bythe market data feed may include the prices, or changes thereto, ofresting orders, prices at which particular orders were recently traded,or other information representative of the state of the market orchanges therein. Separate, directed/private, messages may also betransmitted directly to market participants to confirm receipt oforders, cancellation of orders and otherwise provide acknowledgment ornotification of matching and other events relevant, or otherwise privy,only to the particular market participant.

As may be perceived/experienced by the market participants from outsidethe Exchange or electronic trading system operated thereby, thefollowing sequence describes how, at least in part, information may bepropagated in such a system and how orders may be processed:

-   -   (1) An opportunity is created at a matching engine of the        Exchange, such as by placing a recently received but unmatched        order on the order book to rest;    -   (2) The matching engine creates an update reflecting the        opportunity and sends it to a feed engine;    -   (3) The feed engine multicasts it to all of the market        participants to advertise the opportunity to trade;    -   (4) The market participants evaluate the opportunity and each,        upon completion of their evaluation, may or may not choose to        respond with an order responsive to the resting order, i.e.        counter to the resting order;    -   (5) The Exchange gateway receives any counter orders generated        by the market participants, sends confirmation of receipt back        directly to each submitting market participant, and forwards the        received orders to the matching engine; and    -   (6) The matching engine evaluates the received orders and        matches the first arriving order against the resting opportunity        and a trade is executed.

Electronic trading systems ideally attempt to offer a more efficient,fair and balanced market where market prices reflect a true consensus ofthe value of traded products among the market participants, and whichminimize, if not eliminate unfair or inequitable advantages, withrespect to access to information or opportunities. To accomplish thesegoals, for example, electronic trading systems should operate in adeterministic, i.e. a causal, predictable, or otherwise expected, manneras understood and experienced by the market participants, i.e. thecustomers of the Exchange. Electronic trading systems which implementmarkets which are overtly or covertly inefficient, unfair or inequitablerisk not only losing the trust, along with the patronage, of marketparticipants, but also increased regulatory scrutiny as well aspotential criminal and/or civil liability.

Accordingly, the operators of electronic trading systems, alone or inconjunction with, or at the direction of, regulatory or industryorganizations, typically publish or otherwise promulgate rules orregulations, referred to as business or operating rules, which governthe operation of the system. These rules define how, for example,multiple transactions are processed by the system where thosetransactions have relationships or dependencies there between which mayaffect the result of such processing. Such business rules may include,for example, order allocation rules, i.e. rules which dictate which ofmultiple competing resting orders will be matched with a particularincoming order counter thereto having insufficient quantity to fill allof the suitable resting orders. For example, under a first-in-first-outmethodology, the first order, of the competing resting orders, that wasreceived by the electronic trading system will be matched with theincoming counter-order and filled to the extent possible by theavailable quantity, with any residual quantity of the incoming counterorder then being allocated to the next received suitable competingresting order and so on until the available quantity of the incomingcounter order is exhausted. However, additional or alternativematching/allocation rules may be implemented as well, for example toensure fair and equal access, improve trading opportunities, etc., byallocating, such as proportionally, the available quantity of theincoming counter order among all, or a subset, of the competing restingorders until the available quantity is exhausted.

Once such business rules are established, or modified, marketparticipants will expect, and overseeing regulatory entities mayrequire, that the electronic trading system operate in accordancetherewith. That is, if the Exchange adopts a rule to give first arrivingorders priority over later arriving orders, a market participant whosubmits an earlier arriving order will expect their order to be filledprior to a later arriving order submitted by another market participant.It will be appreciated that these rules, by which operators of anelectronic trading system may choose to operate their system, may varyat the discretion of the operators, subject to regulatory concerns.Generally, the term “transactional determinism” may refer to theprocessing, or the appearance thereof, of orders in accordance with thedefined business rules.

In addition to efficiency, fairness and equity, electronic tradingsystems further provide significant performance improvements allowingfor rapid high-volume transaction processing which benefits both theExchange and market participants. Metrics of electronic trading systemperformance include latency and throughput. Latency may be measured asthe response time of the Exchange. This can be measured in a number ofdifferent contexts: the time elapsed from when an order, or ordercancelation, is received to when a confirmation/acknowledgment ofreceipt is transmitted, from when an order is received to when anexecution notification is transmitted, or the time elapsed from when anorder is received to information about that order being disseminated inthe market data feed. Throughput may be measured as the maximum numberof orders or trades per second that the electronic trading system cansupport, i.e. receive and acknowledge, receive and match, etc.

Generally, market participants desire rapid market data updates, lowlatency/high throughput order processing, and prompt confirmations oftheir instructions to allow them to: competitively, frequently andconfidently evaluate, react to, and capitalize upon or, conversely,avoid, discrete, finite, fast moving/changing or ephemeral marketevents; leverage low return transactions via a high volume thereof;and/or otherwise coordinate, or synchronize their trading activitieswith other related concerns or activities, with less uncertainty withrespect to their order status. Higher volume capacity and transactionprocessing performance provides these benefits as well as, withoutdetrimentally affecting that capacity or performance, further improvesmarket access and market liquidity, such as by allowing forparticipation by more market participants, the provision of additionalfinancial products, and/or additional markets therefore, to meet thevarying needs of the market participants, and rapid identification ofadditional explicit and implicit intra- and inter-market tradingopportunities. The Exchange benefits, for example, from the increasedtransaction volume from which revenue is derived, e.g. via transactionfees.

Current electronic trading systems already offer significant performanceadvantages. However, increasing transaction volumes from an increasingnumber of market participants, implementation by some marketparticipants of algorithmic and/or high frequency trading methodologieswhereby high speed computers automatically monitor markets and react,usually in an overwhelming manner, to events, coupled with a continueddemand for ever-decreasing processing latencies and response times, isdriving a need for additional capacity and performance improvements tomaintain performance as experienced by each market participant and avoiddetrimental consequences, such as capacity exhaustion and inequitableaccess.

Accordingly, high performance electronic trading systems need to assuretransactional determinism under increasing loads while providingimproved trading opportunities, fault tolerance, low latency processing,high volume capacity, minimal impact risk mitigation and marketprotections, as well as equitable access to information andopportunities.

BRIEF DESCRIPTION OF THE DRAWINGS

FIG. 1 depicts an illustrative electronic trading system that may beused to implement aspects of the disclosed embodiments.

FIG. 2 a block diagram of an exemplary implementation of the system ofFIG. 1 according to one embodiment.

FIG. 3 depicts a flow chart showing operation of the system of FIG. 1according to one embodiment.

FIG. 4 shows an illustrative embodiment of a general computer system foruse with the system of FIGS. 1-3.

DETAILED DESCRIPTION

The disclosed embodiments relate to implementation of a transactionprocessing system, e.g. an electronic trading system, which may also bereferred to as a trading system architecture, having improved equityamong the communications paths between the ingress/egress points of thetrading system network, where electronic data transaction messagesoriginated from, or are destined, for different sources/destinations,effectively enter or exit the trading system, to/from the transactionprocessing component thereof, i.e., the match engine, market data feedgenerator, where those messages are ultimately processed and outboundmessages reflective thereof are generated. That is, the disclosedembodiments attempt to compensate for variances in latencies as betweendifferent network communications routes between the electronicingress/egress points of the electronic trading system and the internalprocessing components which implement the functions of the tradingsystem. Accordingly, an incoming transaction message which iscommunicated along one route is not unfairly penalized as to itsprocessing priority by, for example, the match engine, as compared toanother transaction message which is communicated along a differentroute which has a lower latency, and messages reflective of thatprocessing are not unfairly delayed en route back to the submittingtraders via different routes/egress points.

In particular, the disclosed embodiments describe an approach forenforcing latency determinism across a computer network by timestampingat the origination subnetwork, such as the network edge or internalprocessing component, and enforcing a total travel time, i.e. aminimum/standard latency, on network traffic before allowing entry intoa target subnetwork, i.e. in the internal processing component forinbound transactions and the network edge for outbound transactions.

As noted elsewhere herein, currently, financial exchanges and theircustomers are frequently co-located in the same data centers. Customersconnect to an exchange through a series of Local Area Networks or WideArea Networks. As a side effect of the physical layouts of networkswithin datacenters, it is possible and even likely for customer serversto experience different latency to the Order Matching Subnetwork, orother internal processing components, of the exchange. The causes of thevarying latencies fall broadly into two main categories; physical(static) differences and routing (dynamic) differences. The physicaldifferences in a path are constant and exchanges can equalize them byaddressing differences, for example, in fiber length or replacingswitching infrastructure. Routing differences, however, can vary as, forexample, congestion or routing of packets constantly change.

These differences in packet latency can result in information inequalityamong market participants, providing customers with faster paths in andout of the exchange which presents an advantage as they receiveinformation from the market sooner, and can send orders to the marketfaster along their shorter path. While the exchange may, as will bedescribed, not have control over the infrastructure outside of itssystems/network, in the interests of determinism and fairness formessages entering into the market/trading system, it may be desirable toequalize latency across all connections.

As will be described, traffic flow in this context may, in oneembodiment, be thought of as flowing from an origination device orsubnet to a target or destination device or subnet, wherein theorigination and destination depend on the direction of the networktraffic. For example, when considering incoming data transactionmessages, e.g. orders to trade, the origination subnet may be the gate,switch or router implemented by the electronic trading system tointerconnect with external network infrastructure, referred to below asthe edge, and the destination subset may include the internal processingmodule to which that incoming data transaction message will be routed,via internal network infrastructure, to be acted upon, i.e. where thepayload of the of the message is processed. In terms of outgoing messagetraffic, for example, the origination subnet may be the internalprocessing component, which generates data indicative of the processingof the message, and the destination subnet is the network edge. Toensure all traffic spends the same amount of latency in transit, thetotal travel time may be first seamlessly detected from origination todestination without imposing any substantially extra delays. Once thattime is known, a variable waiting period may be enforced at thedestination subnetwork in order to standardize the travel time/latencyfor all packets flowing to the target.

For example, in one embodiment, a standardized delay/latency may bedecided upon for the entire network. Alternatively, different portionsof the network may have specific standardized delays/latencies applied.In general, the information on the current times/latencies can be foundfrom current data resources, such as traffic monitors, etc., and then abusiness level decision may be made to define a standard benchmark forthe network. For example, the standardized delay/latency may be set tobe the longest measured delay, e.g. “high water mark,” of any networkpath in the system. It will be appreciated that, as will be describedbelow, the dynamic component of the latency of any network path willresult in variations is measured latencies. Accordingly, for example,the path with the longest delay, as well as the magnitude thereof, maychange over time. According, statistical analysis may be applied todetermine the statistically longest latency path and the magnitude ofthat latency. As will be described, the standardized delay may beperiodically reevaluated, either manually or automatically, based oncurrent and/or historical conditions, and adjusted as warranted.

For example, the standardized latency may comprise a fixed minimumtransit time/latency computed/derived based on an average observedmeasured transit time/latency (e.g. the median time is 5 ms, so alltransits must be 5 ms minimum). Alternatively, the standardized latencymay be computed as the minimum observed latency with an adjustablefloor, e.g. adjusted to 75, 80, 90%, etc., of the observed latencies (oraverage/median thereof). Alternatively, the standard latency, or highwatermark value thereof, may be periodically recomputed based on recentobserved latency values, e.g. the most recent X minutes or hours ofobserved latencies. It will be appreciated that the historical windowover which latency values are observed to compute/derive the standardlatency may be fixed or dynamic. For example, the highwater mark may beadjusted periodically, e.g. every hour (or other unit of time), based oncongestion/volume, rather than transit times (i.e. as traffic increases,the water mark rises to ensure that the network can handle the volume).In another embodiment, a sliding scale may be implemented, e.g. thehighwater mark begins at some predefined value (e.g. 1 ms) and increaseswhenever a certain percentage of messages has exceeded 150% of thatvalue (for example, if 100 messages are observed with a transit timeabove 1.5 ms, that becomes the new value). Similarly, the high watermarkmark can be moved back down if the inverse happens. It will beappreciated that minimizing the standard latency improves the overallperformance of the system.

Further, in order to enforce the network latency across all customerconnections in the datacenter there may be two stages in eitherdirection of communication: 1. At the subnetwork edge of the origin of adata packet, the packet will be timestamped; and 2. At the destinationsubnetwork edge, the packet's network timestamp will be checked and thepacket delayed long enough to enforce the predetermined network latency

In one example embodiment, for stage one, all origination traffic mayreceive a connection to an exchange-owned network switch with astandardized length cable to connect to it. This switch wouldautomatically inject timestamps into packets for when the packet wasseen at the switch. In order to deterministically and quickly inject thetimestamps into a packet, a layer 2 switch may be used that hasavailable either programmable hardware such as an FPGA or a custom ASICfor injecting the timestamp. In stage two, a destination switch, alsoowned by the exchange, would receive all packets addressed to itssubnetwork, and extract the originator's timestamp. Using this timestampand its own timer functionality, the destination switch would then storethe packet in its own buffers until the standardized delay has been metbefore forwarding it on to its ultimate destination. Packets received ondifferent ports on the same clock cycle may be fed into a randomizerfunction within the switch in order to determine which would beforwarded first. Any packet received by the switch whose latency alreadyexceeds the enforced latency may automatically be forwarded on to itsdestination at the end of the current send queue. In order to achieveproper parity all between possible connections, cables between serversand origination and destination switches may have to be standardized.

In one embodiment, clocks within each switch may be synchronized to anoutside master time source, i.e. a single source of truth for time. Tocreate a time source with the level of precision required a singlecrystal oscillator may be used whose output is fed into a splitter thatfeeds to connections to all other switches to drive the timestamping.All connections between the splitter and the switch may also have to bea standardized length.

As used herein, a data transaction message may refer to an electronicfinancial message or electronic financial data message and may furtherrefer both to messages electronically communicated by marketparticipants to an electronic trading system and vice versa. Datatransaction messages communicated to the electronic trading system, alsoreferred to as “inbound” messages, may include request messages, such astrader orders, order modifications, order cancellations and othertransaction requests, as well as other message types. Data transactionmessages communicated from the electronic trading system, referred to as“outbound” messages, may include messages responsive to inboundmessages, such as confirmation and/other response messages, or othermessages such as market update messages, quote messages, and the like,e.g. market data messages.

Data transaction messages may further be categorized as having orreflecting an impact on a market, also referred to as an “order book” or“book,” for a traded product, such as a prevailing price therefore,etc., or not having or reflecting an impact on a market or a subset orportion thereof. For example, a request to place a trade may result in aresponse indicative of the trade either being matched with, or beingrested on an order book to await, a suitable counter-order. In somecases, requests may elicit a non-impacting response, such as temporallyproximate to the receipt of the request and then cause a separatemarket-impact reflecting response at a later time. For example, a stoporder, fill or kill order, aka an immediate or cancel order, or otherconditional request may not have an immediate market impacting effect,if at all, until the requisite conditions are met. Accordingly, anacknowledgement or confirmation of receipt, e.g. a non-market impactingcommunication, may be sent to the trader simply confirming that theorder was received. Upon the conditions being met and a market impactingresult thereof occurring, a market-impacting message may be transmittedas described herein. It will be appreciated that additional conditionsmay be specified, such as a time or price limit, which may cause theorder to be dropped or otherwise canceled and that such an event mayresult in another non-market-impacting communication instead. As will bedescribed below, in some implementations market impacting communicationsmay be communicated separately from non-market impacting communications,such as via a separate communications channel or feed. It will befurther appreciated that various types of market data feeds may beprovided which reflect different market or aspects thereof. Marketparticipants may then, for example, subscribe to receive those feeds ofinterest to them. For example, a particular market data feed may onlycommunicate information related to the top buy/sell prices for aparticular product, referred to as “top of book” feed. In this case, arequest message may be considered market-impacting only if it affectsthe top buy/sell prices and otherwise is considerednon-market-impacting. As market impacting communications tend to be moreimportant to market participants then non-impacting communications, thisseparation may reduce congestion and or noise among those communicationshaving or reflecting an impact on a market or portion thereof.

Market data feeds may further be characterized as providing a “view” or“overview” of a given market, an aggregation or a portion thereof. Forexample, a market data feed may convey the entire state of a market fora particular product, e.g. all presently resting buy/sell orders andprices associated therewith as well as trade notifications, etc., only aportion of a market, e.g. only the top 10 resting buy/sell orders,and/or an aggregation of multiple markets or portions thereof. As usedherein, a market impacting request may be said to impact the “view” ofthe market as presented via the market data feed.

Various types of market data feeds may be provided by electronic tradingsystems, such as the CME, in order to provide different types or subsetsof market information or to provide such information in differentformats. Examples include Market By Order, Market Depth (aka Market byPrice to a designated depth of the book), e.g. CME offers a 10-deepmarket by price feed, Top of Book (a single depth Market by Price feed),and combinations thereof. There may also be all manner of specializedfeeds in terms of the content, i.e. providing, for example, deriveddata, such as a calculated index). It will be appreciated that number,type and manner of market data feeds provided by an electronic tradingsystem are implementation dependent and may vary depending upon thetypes of products traded by the electronic trading system,customer/trader preferences, bandwidth and data processing limitations,etc. and that all such feeds, now available of later developed, arecontemplated herein.

The disclosed embodiments effectively normalize the transmission latencyof, or otherwise impose a minimum latency on, incoming and outgoingtransaction messages, i.e. orders and market data updates, received fromdifferent sources (via different ingress points and/or internal routingpaths) or transmitted to different destinations (via different egresspoints and/or internal routing paths), by measuring the time it takes atransaction message to transit the network infrastructure between aningress/egress point of the electronic trading system and the processingcomponent where those transactions will be processed and results thereofgenerated, i.e. the match engine. That is, the disclosed embodimentsnormalize, equalize or otherwise level, substantially or otherwise,latencies of network paths which originate from disparate sources andconverge at a common destination and/or originate from a common sourceand diverge to multiple disparate destinations. The measured time isthen compared to, for example, a pre-defined minimum latency. If thetransit time is less than the minimum latency, thetransaction/forwarding is delayed or processing thereof is otherwisedeferred, at the processing component or egress point, for a time periodequal to the difference. If the transit time is equal to or greater thanthe minimum latency, in one embodiment, the transaction may beprocessed/forwarded without delay.

The disclosed embodiments represent a technical solution to a technicalproblem of communications latency in an electronic communicationsnetwork where multiple network paths are available to a commondestination and that variances in the communications latencies betweenthose paths may create issues for deterministic systems which mustprocess transactions from different sources in a particular order, inorder of receipt by the system, and where the results thereof should bereceived by multiple recipients substantially simultaneously. Inparticular, inequitable latencies may cause an incoming data transactionmessage, e.g. a packet, that is forwarded to a common destinationsubsequent to another message/packet, to arrive first at thedestination, i.e. before the message/packet which was sent first, wherethose messages/packets are communicated, for example, via differentnetwork paths to the common destination. The receipt of thesemessages/packets out of order may cause issues for deterministicprocessing systems if those messages were to be processed out of order.Where an outgoing message is intended for multiple recipients,inequitable latencies may result in one recipient receiving the messagebefore another creating an information advantage.

The term “transaction processing system” may refer to the overall systemincluding the ingress and egress points, destination/processingcomponent, e.g. match engine, and intervening/interconnecting networkinfrastructure. As will be described in more detail below, for claritythe timing of the receipt of a transaction message at an ingress pointto the transaction processing system as compared to receipt of anothertransaction message at the same or a different ingress point may becharacterized as the time it is forwarded by the receiving ingress pointalong a network path toward the destination, assuming the ingress pointforwards received messages substantially upon receipt. Similarly, thetiming of an outgoing message may be characterized by the time it isforwarded from the processing component along one or more networks pathstowards the egress points. At the destination/processing component, i.e.the match engine or point where the transaction messages will beprocessed or egress point where the message will be forwarded outside ofthe transaction processing system, the time of receipt thereby offorwarded messages will be characterized as their time/order of receipt.Accordingly, the term “forwarding” refers to the receipt and subsequenttransmission of a transaction message along a network path toward thedestination/processing component and the forwarding of a firsttransaction message prior to the forwarding of a second transactionmessage implies, for example, that the first transaction message wasreceived at an ingress point prior to the second transaction having beenreceived at the same or a different ingress point. However, as will bedescribed, the order in which transaction messages are forwarded may notbe the same as the order in which those transaction messages arereceived at the destination/processing component.

Generally, deterministic processing refers to a system where the resultof processing multiple transactions may depend on the order in whichthose transactions are processed, i.e. if processed in a differentorder, a different result will be obtained. Mathematical computations,in particular having nested calculations, decision making algorithms,interdependent tasks, etc. may be examples of deterministic processes.As described above, as used herein a business transaction may be definedas one or more operations or acts which are undertaken according to oneor more associated business rules (including industry, legal orregulatory requirements or customs) to accomplish a business orcommercial purpose, which may include compliance with industry,regulatory or legal requirements. A business transaction may beimplemented by one or more computer processing and/or databaseoperations/program steps, which themselves may be referred to astransactions. Business transactions, as defined by the associatedbusiness rules, may be characterized as deterministic in that they becharacterized by an interdependency or relationship which affects theirresult, such as a dependency on the order in which they are processed,such as a temporal order, and/or a dependency on real time processing,as defined by business rules, so as to effect the business/commercialpurpose and/or meet participant expectations, referred to herein as“transactional determinism.” Generally, a set of deterministictransactions will provide a particular result when executed in one orderand a different result when executed in a different order. In someapplications, deterministic processing may be preferred/prioritized overreal time processing.

For example, wherein the business rules define a first-in-first-out(“FIFO”) process for matching offers with counter-offers to effect anexchange or trade, when an offer transaction is received to which noprior counter offer transaction has been previously received, it shouldbe matched with the next suitable counter offer transaction receivedrather than a later received counter offer transactions. It will beappreciated that the processing of a given transaction may involvedelaying further processing of that transaction in favor of a laterreceived transaction, such as dependent upon conditions specified by theearlier transaction and/or the defined business rules. It will furtherbe appreciated that, at a minimum, any representation of the currentstate of a business environment, e.g. market, or changes thereto, inwhich the business transactions are transacted should present anaccurate reflection of the actual state or state change in accordancewith the defined business rules, so as to not mislead participants orprovide an unfair advantage. In the disclosed embodiments, the phrase“financial transaction” will refer to a business transaction involvingthe purchase or sale of financial instruments, such as futures contractsor options thereon, spread or other combination contracts and the like,as will be described. As was described above, electronic trading systemsgenerally define their business rules and then must ensure transactionaldeterminism in compliance therewith. Regardless of the nature of theunderlying transactions, e.g. business/finance related or not, it willbe appreciated that deterministic processing is a technical functiondescribing how a processing system is to process multiple transactions.

It will be understood that current network infrastructures may beadequate for use in non-deterministic systems where the order ofprocessing incoming transactions does not affect the processing results,or in systems which process messages from a single source where thosemessage contain an inherent or explicit ordering which may be reliedupon by the transaction processing system. For example, standard TCP/IPmessaging is designed for multi-path networks which do not guaranteearrival order of a given set of messages, e.g. packet switched networks.TCP/IP utilizes message ordering, where upon transmission, messagesinclude data indicative of their ordering with respect to other messagestransmitted by the same source. This ordering data enables the receivingdevice to assemble a set of messages in the order they were transmittedas they are received regardless of their order of arrival.

However, the disclosed embodiments may be applicable to multi-sourcedeterministic systems where the processing result is dependent upon theorder in which transactions are processed and where those transactionmessages are transmitted by different sources reliant upon their arrivaltime at the transaction processing system, but not necessarily the orderof arrival at the actual processing component thereof, to determinetheir processing priority/order.

Differences in latency as between two different network paths to acommon destination may be caused by static differences, dynamicdifferences or a combination thereof, in the network infrastructurewhich makes up those network paths, e.g. network switches, wires,wireless connections, etc. Static differences include: mediatype/characteristics such as cath copper cable, fiber optic, satellite,microwave or Wi-Fi; cable length/impedance where a longer and/or higherimpedance cable requires a longer time to transit than a shorter and/orlower impedance cable of the same type; number, type and capability ofrouting and switching devices along the path which impart processingdelay to perform their functions; transceivers which transfer/translatemessages between different media such as between copper, fiber andwireless media, etc. Generally, static differences are differences whichdo not change over time, e.g. delays attributable to staticcharacteristics of the network infrastructure. Dynamic differencesinclude: network load where increased network traffic/congestion mayincrease latency; interference such as radio frequency interference,sunspots, etc. which may cause errors and retries in the transmission;equipment/media degradation or mechanical issues such astemperature/environmental sensitivity, poor connections or degradedcomponents which may impart transmission errors or intermittent orvarying changes in impedance, capacitive and/or resistive delay, etc.Generally, dynamic latency differences vary over time and may or may notbe predictable. Given dynamic latency variations, a network path thathas a higher latency as compared to another network path at a particulartime may have a lower latency at another time. Dynamic latencies mayaffect different messages along the same path where, not only may onemessage transit the network path faster than another message, but onemessage may overtake another message in transit such as where an earlierforwarded message must be resent by intermediate network component dueto an intermittent error and where the earlier message is resent after alater forwarded message is communicated by that intermediate networkcomponent.

It will be appreciated that static latency differences may be addressedby measuring the latency variances among the different network paths andphysically or logically statically compensating for those differencesuch as by adding an additional length of cable or an electronic fixeddelay buffer along a lower latency path to equalize that path to alonger latency path. Alternatively, slower network infrastructurecomponents may be replaced with faster component to decrease latencycommensurate with another network path. While some dynamic latencyissues may be mitigated using static changes, such as replacinginterference-susceptible components with shielded components,implementing proper maintenance and upkeep, etc., it will be appreciatedthat given the nature of dynamic latencies, such latencies cannot becompletely addressed in this manner.

The disclosed embodiments, while directed primarily at compensating fordynamic network path variances, also by their operation, are able toaddress static variances as well and, thereby, may simplify compensationof such static differences by obviating the need to add additional mediaor equipment in order to equalize static differences. This may reducecost as well as complexity of the network infrastructure and increasefault tolerance by minimizing unnecessary potential points of failure.It will be appreciated then that the disclosed embodiments may be usedalone or in conjunction with other methods of compensating for staticlatency variances.

Other solutions to the issue of ensuring deterministic processing oftransactions received over multiple latency-variant paths include merelyascribing a time-stamp to incoming transactions messages of their timeof receipt prior to forwarding them to the transaction processing systemalong the particular network path. The time stamp, ideally, permits thetransaction processing system, upon receipt at an ingress point, todetermine the order of receipt of those messages and process them inaccordance therewith. However, if a transaction message is delayed intransit from the ingress point to the processing component such that theprocessing component first received a later forwarded transactionmessage which arrived more quickly, the transaction processing componentmay not be aware that earlier forwarded message, which is still intransit, exists and it may then proceed to process the later forwardedmessage first.

The disclosed embodiments, instead, impose a minimum delay on allincoming and outgoing transactions messages, normalizing any delay intransit across all of the network paths to the destination and, therebyallowing earlier forwarded but delayed transaction messages to reach thetransaction processing system before a later forwarded but non-delayedmessages are processed. It will be appreciated that by sizing theminimum delay appropriately or otherwise dynamically adjusting theminimum delay based on network conditions, as will be described, theability for a later forwarded transaction message to overtake orotherwise be processed/transmitted before an earlier forwardedtransaction message, along the same or different network path, isminimized if not eliminated.

As compared to routing all transaction messages through a singleingress/egress point and network path to/from the transaction processingcomponent, which is a solution which may guarantee that, regardless oflatency, messages cannot arrive out of order, it will be furtherappreciated that the disclosed embodiments, by maintaining multipleingress/egress points and paths to/from the transaction processingsystem, may be advantageous. For example, offering multiple paths mayminimize congestion along any one path, balance load among those paths,provide geographically/physically convenient ingress/egress points forincoming/outgoing transaction messages, provide redundancy and faulttolerance, etc. It will be apparent that the disclosed embodimentsrepresent a solution to multi-path latency variance that issignificantly more than any previously known implementation.

While the disclosed embodiments may be discussed in relation to futuresand/or options on futures trading using a central limit order book(“CLOB”), it will be appreciated that the disclosed embodiments may beapplicable to any financial instrument, e.g. equity, options or futures,trading system or market now available or later developed, which may usea CLOB, a Request for Quote or other methodology. A CLOB is a tradingmethod used by most exchanges globally. It is a transparent system thatmatches customer orders (e.g. bids and offers) on a ‘price timepriority’ basis. The highest (“best”) bid order and the lowest(“cheapest”) offer order constitutes the best market or “the touch” in agiven security or swap contract. Customers can routinely cross thebid/ask spread to effect low cost execution. They also can see marketdepth or the “stack” in which customers can view bid orders for varioussizes and prices on one side vs. viewing offer orders at various sizesand prices on the other side. The CLOB is by definition fullytransparent, real-time, anonymous and low cost in execution. In the CLOBmodel, customers can trade directly with dealers, dealers can trade withother dealers, and importantly, customers can trade directly with othercustomers anonymously. In contrast to the CLOB approach, the RFQ tradingmethod is an asymmetric trade execution model. In this method, acustomer queries a finite set of participant market makers who quote abid/offer (“a market”) to the customer. The customer may only “hit thebid” (sell to the highest bidder) or “lift the offer” (buy from thecheapest seller). The customer is prohibited from stepping inside thebid/ask spread and thereby reducing its execution fees. Contrary to theCLOB model, customers can only trade with dealers. They cannot tradewith other customers, and importantly, they cannot make marketsthemselves.

A limit order is an order to buy a security at no more than a specificprice, or to sell a security at no less than a specific price (called“or better” for either direction). This gives the trader (customer)control over the price at which the trade is executed; however, theorder may never be executed (“filled”). Limit orders are used when thetrader wishes to control price rather than certainty of execution. Amarket order is a buy or sell order to be executed immediately atcurrent market prices. As long as there are willing sellers and buyers,market orders are filled. Market orders are therefore used whencertainty of execution is a priority over price of execution. Aconditional order is any order other than a limit order which isexecuted only when a specific condition is satisfied, such as a stop orstop-loss order which is an order to buy or sell a stock once the priceof the stock reaches a specified price.

As was described above, an order to trade, whether it be a limit order,market order, conditional order or some other order type, may beconsidered a business transaction, i.e. one or more operations or actswhich implement one or more business rules (including industry, legal orregulatory requirements or customs) to accomplish a business orcommercial purpose, which may include compliance with industry,regulatory or legal requirements. A business transaction may beimplemented by one or more computer processing and/or databaseoperations/program steps, which themselves may be referred to astransactions. Business transactions, as defined by the business rules,may be deterministic in that they must occur, or be processed, in an(temporal) order and/or in real time as defined by business rules and/orto effect the business/commercial purpose or meet participantexpectations. It will be appreciated that such deterministic processingmay, in fact, result in out of order processing depending on thebusiness rules, such as where conditions for processing orders areimposed which may not be met by an earlier transaction before a latertransaction. Deterministic order may be paramount. Real time processingmay be secondary. For example, when an offer transaction is received towhich a prior offer transaction counter thereto has not been previouslyreceived, it should be matched with the next offer transaction receivedcounter thereto (in a FIFO market). However, if the earlier offertransaction specifies a condition, such as that it must be completelyfilled or not at all, it may be deferred in favor of a later arrivingoffer transaction when the condition is not met. As was discussed above,the representation (but not, perhaps, the perception) of the currentstate of the business environment, e.g. market, in which the businesstransactions are transacted, or changes therein, should present anaccurate reflection of the actual state or state change so as to notmislead participants or provide an unfair advantage.

An exemplary trading network environment including the disclosedelectronic trading system 100 is shown in FIG. 1. In the exemplaryenvironment, the electronic trading system 100 receives orders andtransmits market data, e.g. related to orders and trades, to users, suchas via wide area network 126 and/or local area network 124 and computerdevices 114, 116, 118, 120 and 122, as will be described below, coupledwith the exchange computer system 100.

Herein, the phrase “coupled with” is defined to mean directly connectedto or indirectly connected through one or more intermediate components.Such intermediate components may include both hardware and softwarebased components. Further, to clarify the use in the pending claims andto hereby provide notice to the public, the phrases “at least one of<A>, <B>, . . . and <N>” or “at least one of <A>, <B>, . . . <N>, orcombinations thereof” are defined by the Applicant in the broadestsense, superseding any other implied definitions here before orhereinafter unless expressly asserted by the Applicant to the contrary,to mean one or more elements selected from the group comprising A, B, .. . and N, that is to say, any combination of one or more of theelements A, B, . . . or N including any one element alone or incombination with one or more of the other elements which may alsoinclude, in combination, additional elements not listed.

As will be described in detail below, the electronic trading system 100may be physically implemented with one or more mainframe, desktop orother computers, such as the computer 400 described below with respectto FIG. 4, reconfigurable logic components, network switches, gateways,routers and other communications devices operative to facilitatecommunications within the electronic trading system 100 and between theelectronic trading system 100 and the market participants. Logically, asdepicted in FIG. 1, the electronic trading system 100 implementsnumerous functions/functional modules each of which, as will bedescribed, may be implemented in software, hardware or a combinationthereof, as single standalone component or combination of interconnectedcomponents or in combination with another function/functional module.Furthermore, each module/component may be implemented as its ownsub-network or subnet within the overall logical and/or physical networkinfrastructure upon which the electronic trading system 100 isimplemented.

It will be appreciated that identifying and defining the boundaries ofan inter-networked communications system, the internal componentsthereof being interconnected as well, such as between the electronictrading system 100 and market participants and the infrastructure whichallows communications there between, may be complex. Physically, thevarious network device, e.g. switches, gateways, routers, and thecabling and connections there between, may be owned, leased and/orcontrolled by different entities, as well as physically located indisparate geographic locations which may be geographically proximate to,or remote from, the entity which owns, leases or controls the networkdevice. In some cases, a network device owned and operated by a serviceprovider may be physically located within the premises of an entity towhich the services are provided or, alternatively, the network deviceowned and operated by the service recipient may be physically locatedwithin the premises of the service provider, both situations beingreferred to as co-location. Logically, the paths, and the boundariesthere between, over which transactions flow and the boundaries betweenentities may be more difficult to discern.

Accordingly, as generally used herein, the electronic trading system100, or the components or boundaries thereof, may be defined in numerousways. In particular, the physical electronic trading system 100 may bedefined by the entity, e.g. CME Group, which defines the business rulesfor processing trading transactions and which owns or otherwise controlsthe components which implement those rules, wherever those componentsmay be geographically located. The logical boundaries of the electronictrading system 100, which may also be referred to as the points ofingress/egress, demarcation point or edge 142, may be defined as thefirst, or last, point at which the electronic trading system 100 cancontrol or otherwise manipulate an incoming, or outgoing, transmission,e.g. data message or packet. For example, for an outgoing data packet,the edge 142 of the electronic trading system 100 may be defined as thelast point at which the electronic trading system 100, or componentthereof, can recall or otherwise stop the transmission. For an incomingdata packet, the edge 142 of the electronic trading system 100 may bedefined as the first point at which the electronic trading system 100,or component thereof, becomes aware of the existence of the data packet.For example, the demarcation point or edge 142 may be the point at whicha market data message is provided to the multi-casting protocol fortransmission or other point where data packets are individuallyforwarded toward their respective destinations, e.g. individuallydistinguishable by destination address. In at least one disclosedembodiment, the edge or demarcation point 142 may further be defined asthe point at which data messages or packets destined for multiple marketparticipants are transmitted simultaneously, or substantiallysimultaneously, i.e. transmitted within short a time period such that anobserver would consider them simultaneously transmitted or otherwisefind the difference there between practically, logically or physicallyimperceptible. Thereafter, variation in network path latencies, etc. mayimpart unequal delays on the delivery of those messages.

Generally, the edge 142 will lie between a component of the electronictrading system 100, such as a router or gateway device (not shown), anda component, such as a server computer, router or gateway device (notshown), controlled by another entity, such as an Internet ServiceProvider, a customer of the electronic trading system 100 (in the caseof colocation) or other operator of the LAN 124 or WAN 126 shown inFIG. 1. As described above, the edge or demarcation point 142, orportions thereof, may be geographically located anywhere, e.g. it may begeographically proximate to or remote from the other components/modulesof the electronic trading system 100. In some embodiments, marketparticipants may co-locate devices for receiving data from, and sendingdata/transactions to, the electronic trading system 100 in the samegeographic location as the components of the electronic trading system100 which transmit that data.

Referring back to FIG. 1, functions/functional modules of the electronictrading system 100 may include a user database 102, stored in a memoryother storage component, e.g. see the description below with respect toFIG. 4, which includes information identifying market participants, e.g.traders, brokers, etc., and other users of electronic trading system100, such as account numbers or identifiers, user names and passwords.An account data function 104 may be provided which may process accountinformation that may be used during the matching and trading process,such as processing trading fees or maintaining credit limits, etc. Amatch engine function 106, described in detail below, may be included toreceive incoming transactions and access order books, such as may bestored in the order book function 110, and match incoming and restingtransactions, such as bid and offer prices, and generate data messagesindicative thereof, and may be implemented with software that executesone or more algorithms for matching bids and offers, e.g. FIFO, prorata, etc. A trade database 108, stored in a memory or other storagemedium, may be included to store information identifying trades anddescriptions of trades. In particular, a trade database may storeinformation identifying the time that a trade took place and thecontract price. An order book function 110 may be included to storeresting offers to buy or sell for the various products traded on theexchanges and to compute or otherwise determine current bid and offerprices for those products. A market data function 112 may be included tocollect market data, such as from the order book function 110 and/ormatch engine function 106, and prepare the data for transmission tomarket participants. A risk management function 134 may be included tocompute and determine a user's risk utilization in relation to theuser's defined risk thresholds, i.e. implement credit controls as willbe described. An order processing function 136 may be included todecompose delta based and bulk order types for processing by the orderbook function 110 and/or match engine function 106. A volume controlfunction 140 may be included to, among other things, control the rate ofacceptance of mass quote messages in accordance with one or more aspectsof the disclosed embodiments. It will be appreciated that concurrentprocessing limits may be defined by or imposed separately or incombination, as was described above, on one or more of the electronictrading system 100 components, including the user database 102, theaccount data function 104, the match engine function 106, the tradedatabase 108, the order book function 110, the market data function 112,the risk management function 134, the order processing function 136, orother component or function of the electronic trading system 100.

Each of the modules described above may be implemented as a separatehardware and/or software component alone or in combination with anotherof the described modules. Each may further be implemented in asubnetwork of the electronic trading system 100 network architecture andinterconnected with each other and with the edge 142 of the electronictrading system 100 via an electronic network infrastructure, asdescribed, which provides for one or more network communication pathsbetween each point of ingress/egress and each module and, in particular,at least multiple of such paths.

The trading network environment shown in FIG. 1 includes exemplarycomputer devices 114, 116, 118, 120 and 122 which depict differentexemplary methods or media by which a computer device may be coupledwith, either directly or indirectly, the electronic trading system 100or by which a user may communicate, e.g. send and receive, trade orother information therewith, i.e. via an ingress/egress point/the edge142. It will be appreciated that the types of computer devices deployedby market participants and the methods and media by which theycommunicate with the electronic trading system 100, or otherwise reachor connect with the edge 142 of the electronic trading system 100, isimplementation dependent and may vary and that not all of the depictedcomputer devices and/or means/media of communication may be used andthat other computer devices and/or means/media of communications, nowavailable or later developed may be used. Each computer device, whichmay comprise a computer 400 described in more detail below with respectto FIG. 4, may include a central processor that controls the overalloperation of the computer and a system bus that connects the centralprocessor to one or more conventional components, such as a network cardor modem. Each computer device may also include a variety of interfaceunits and drives for reading and writing data or files and communicatingwith other computer devices and with the electronic trading system 100.Depending on the type of computer device, a user can interact with thecomputer with a keyboard, pointing device, microphone, pen device orother input device now available or later developed.

An exemplary computer device 114 is shown directly connected to the edge142 of the electronic trading system 100, such as via a T1 line, acommon local area network (LAN) or other wired and/or wireless mediumfor connecting computer devices, such as the network 420 shown in FIG. 4and described below with respect thereto. The exemplary computer device114 is further shown connected to a radio 132. The user of radio 132,which may include a cellular telephone, smart phone, or other wirelessproprietary and/or non-proprietary device, may be a trader or exchangeemployee. The radio user may transmit orders or other information to theexemplary computer device 114 or a user thereof. The user of theexemplary computer device 114, or the exemplary computer device 114alone and/or autonomously, may then transmit the trade or otherinformation to the electronic trading system 100.

Exemplary computer devices 116 and 118 are coupled with a local areanetwork (“LAN”) 124 which may be configured in one or more of thewell-known LAN topologies, e.g. star, daisy chain, etc., and may use avariety of different protocols, such as Ethernet, TCP/IP, etc. Theexemplary computer devices 116 and 118 may communicate with each otherand with other computers and other devices which are coupled with theLAN 124. Computer and other devices may be coupled with the LAN 124 viatwisted pair wires, coaxial cable, fiber optics or other wired orwireless media. As shown in FIG. 1, an exemplary wireless personaldigital assistant device (“PDA”) 122, such as a mobile telephone, tabletbased computer device, or other wireless device, may communicate withthe LAN 124 and/or the Internet 126 via radio waves, such as via Wi-Fi,Bluetooth and/or a cellular telephone based data communicationsprotocol. PDA 122 may also communicate with electronic trading system100 via a conventional wireless hub 128.

FIG. 1 also shows the LAN 124 coupled with a wide area network (“WAN”)126, such as via a network gateway or router (not shown), which may becomprised of one or more public or private wired or wireless networks.In one embodiment, the WAN 126 includes the Internet 126. The LAN 124may include a router to connect LAN 124 to the Internet 126. Exemplarycomputer device 120 is shown coupled directly to the Internet 126, suchas via a modem, DSL line, satellite dish or any other device forconnecting a computer device to the Internet 126 via a service providertherefore as is known. LAN 124 and/or WAN 126 may be the same as thenetwork 420 shown in FIG. 4 and described below with respect thereto.

As was described above, the users, i.e. the market participants, of theelectronic trading system 100 may include one or more market makers 130which may maintain a market by providing constant bid and offer pricesfor a derivative or security to the electronic trading system 100, suchas via one of the exemplary computer devices depicted. The electronictrading system 100 may also exchange information with other tradeengines, such as trade engine 138. One skilled in the art willappreciate that numerous additional computers and systems may be coupledto electronic trading system 100. Such computers and systems may includeclearing, regulatory and fee systems.

The operations of computer devices and systems shown in FIG. 1 may becontrolled by computer-executable instructions stored on anon-transitory computer-readable medium. For example, the exemplarycomputer device 116 may include computer-executable instructions forreceiving order information from a user and transmitting that orderinformation to the electronic trading system 100. In another example,the exemplary computer device 118 may include computer-executableinstructions for receiving market data from the electronic tradingsystem 100 and displaying that information to a user.

Of course, numerous additional servers, computers, handheld devices,personal digital assistants, telephones and other devices may also beconnected to the electronic trading system 100. Moreover, one skilled inthe art will appreciate that the topology shown in FIG. 1 is merely anexample and that the components shown in FIG. 1 may include othercomponents not shown and be connected by numerous alternativetopologies.

Electronic trading systems, as will be described, are implemented usingcomputer technology, e.g. processors, memories, electroniccommunications networks, and the like. As used herein, the terms“microprocessor” or “general-purpose processor” (“GPP”) may refer to ahardware device that fetches instructions and data from a memory orstorage device and executes those instructions (for example, an IntelXeon processor or an AMD Opteron processor) to then, for example,process the data in accordance therewith. The term “reconfigurablelogic” may refer to any logic technology whose form and function can besignificantly altered (i.e., reconfigured) in the field post-manufactureas opposed to a microprocessor, whose function can changepost-manufacture, e.g. via computer executable software code, but whoseform, e.g. the arrangement/layout and interconnection of logicalstructures, is fixed at manufacture. The term “software” will refer todata processing functionality that is deployed on a GPP. The term“firmware” will refer to data processing functionality that is deployedon reconfigurable logic. One example of a reconfigurable logic is afield programmable gate array (“FPGA”) which is a reconfigurableintegrated circuit. An FPGA may contain programmable logic componentscalled “logic blocks”, and a hierarchy of reconfigurable interconnectsthat allow the blocks to be “wired together”—somewhat like many(changeable) logic gates that can be inter-wired in (many) differentconfigurations. Logic blocks may be configured to perform complexcombinatorial functions, or merely simple logic gates like AND, OR, NOTand XOR. An FPGA may further include memory elements, which may besimple flip-flops or more complete blocks of memory

To improve performance and volume, merely implementing existing systemsusing newer and faster general-purpose technology may be insufficient.General purpose processors, operating systems and compilers implementgeneral optimizations and operations designed to improve performance andreliability while maintaining broad applicability across a wide varietyof applications. As such, these optimizations are not necessarilyoptimized for any one application, e.g. such as for implementing a matchengine of an electronic trading system. These optimizations, which arelargely defined by the manufacturer and may be out of the control of anapplication developer, may include interrupt handling algorithms,algorithms to improve multitasking, memory management algorithms,pre-fetching, branch prediction, program code optimizations, etc.However, such optimizations may, in fact, undermine the application forwhich the general-purpose processor is being used. In particular, withrespect to the business transactions processed by an electronic tradingsystem, where transactional determinism is paramount, underlyingoptimizations may be disruptive thereof.

Alternatively, as will be described, the embodiments described below maybe implemented using FPGA's or other reconfigurable logic. Implementingprocessing tasks and algorithms using an FPGA can yield significantperformance enhancements over implementations using traditionalmicroprocessors and operating systems. In particular, an FPGA basedsystem implementation may avoid the processing overhead anduncontrollable/unnecessary optimizations implemented by general purposeprocessors, compilers, operating systems and communications protocols,as well as the security vulnerabilities thereof. For example, an FPGAmay avoid interrupt handling, error correction, pre-fetching and otherunnecessary microprocessor operations/optimizations, as well as genericprocessing/housekeeping tasks of the operating system which are notneeded, such as garbage collection, unnecessary memory swaps, cacheloads, task switching, cycle stealing, etc. Further an FPGAimplementation may avoid the use of general purpose compilers which mayintroduce, for example, undesired program code optimizations.

For example, using an FPGA based implementation may permit components ofa trading system to be collocated, such as via a custom interface, orotherwise closely interconnected with networking equipment, such as arouter or switch, e.g. via a backplane thereof. This would allow thetrading system to have access to incoming transactions as quickly aspossible and avoid the latency introduced, not only by having to routethe transaction over conventional networking media, but also by thecommunications protocols, e.g. Transport Control Protocol (“TCP”), usedto perform that routing. One exemplary implementation is referred to asa “Smart Network Interface Controller” or “SmartNlC” which is a devicewhich typically brings together high-speed network interfaces, a PCIehost interface, memory and an FPGA. The FPGA implements the NICcontroller, acting as the bridge between the host computer and thenetwork at the “physical layer” and allows user-designed customprocessing logic to be integrated directly into the data path. This mayallow a smart NIC to function as a programmable trading platform underthe supervision of a host CPU. Under the Open System Interconnection(“OSI”) model, which is a conceptual model that characterizes andstandardizes the internal functions of a communication system bypartitioning it into abstraction layers, the physical abstraction layerdefines electrical and physical specifications for devices. Inparticular, it defines the relationship between a device and atransmission medium, such as a copper or fiber optical cable. Thisincludes the layout of pins, voltages, line impedance, cablespecifications, signal timing, hubs, repeaters, network adapters, hostbus adapters (HBA used in storage area networks) and more. The majorfunctions and services performed by the physical layer include:establishment and termination of a connection to a communicationsmedium; participation in the process whereby the communication resourcesare effectively shared among multiple users, for example, contentionresolution and flow control; and modulation or conversion between therepresentation of digital data in user equipment and the correspondingsignals transmitted over a communications channel, these signalsoperating over the physical cabling (such as copper and optical fiber)or over a radio link.

However, merely increasing operating performance, whether via animproved general purpose processor or via an FPGA based implementation,may expose, or reduce tolerance of, fundamental flaws of traditionalcomputer hardware, operating systems or the algorithms/programsimplemented thereon, as well as network interconnects/communicationsmedia. Such flaws, which may result in non-deterministic operation,include manufacturing imperfections/variabilities (clock skew, longpaths, Resistance/Capacitance (“RC”) delay, alpha particles, etc.),susceptibility to environmental conditions or changes thereto(temperature, humidity, solar flares, etc.), and human error(intermittent or loose connections, improper configuration, etc.). Theseflaws may introduce transient errors, such as race conditions, biterrors or packet loss, which affect deterministic operation. These issuemay be compounded in a multiprocessor (whether distributed orco-located, e.g. in the same room, the same box, the same package, or onthe same substrate) environment, which is desirable for fault toleranceand/or improved performance, where new interconnects andimperfections/variabilities are introduced/multiplied, interconnects arelonger (increasing the occurrence of race conditions and/or jitter, i.e.variability over time of communications latency), coherence issues areintroduced necessitating complex coherency management mechanisms (threador resource locking, etc.), and resource (data, memory, bus) contentionor conflicts may occur.

Furthermore, mere improvements to performance can reveal problems withthe applications themselves, such as trading applications or theirunderlying algorithms. For example, an increase in the rate oftransaction processing may cause variances/divergence, between actualoperation and ideal or expected operation, to emerge, be amplified,exacerbated (possibly exploited) or compounded beyond an acceptablelevel, e.g. before the application can be reset or other correctiveaction taken. In particular, deficiencies with assumptions, e.g. factorsthought to be negligible or at least acceptable, may become significant,such as the assumed requisite degree of precision or rounding, assumednumber decimal places, assumed number of bits (which may causeoverflow), assumed or limited precision constants or variables (e.g. atime variable incapable of nanosecond or other requisite precision),factors assumed to be constant which are in fact variable, variablesignored for convenience or to reduce complexity, tradeoffs andcompromises (made for convenience/to reduce cost/complexity or improveperformance of the implementation). Further, the occurrence ofunaccounted for, or intentionally ignored,assumed-statistically-insignificant events/factors, variables, roundingerrors, corner cases, rare or unexpected/unanticipated states or statetransitions may present an increasing risk. Generally, speed becomes alens which creates, or magnifies/reveals underlying, defects and/ordivergences, e.g. where a later transaction may overtake an earliertransaction (race condition), as well as limits recovery time from, orotherwise reduces tolerance for, errors (transient or systemic (delay)such as bit errors, packet loss, etc.). Such flaws may causeinconsistencies and/or may be unfairly exploited.

Accordingly, beyond mere performance improvements, improvedarchitectures and algorithms for implementing electronic trading systemsmay be needed to ensure proper, e.g. transactionally deterministic,operation by avoiding optimizations and operations which may undermineintended operation and avoid, account and/or compensate for performancerelated/introduced/revealed inadequacies.

The disclosed architecture for normalizing latency variations, andimplementations thereof, described in detail below, facilitate improved,e.g. low latency and high volume, transactional performance and faulttolerance with assured transactional determinism, while further enablingadditional value-added functionality to improve information outflow,trading opportunities, e.g. the ease with which trades can occur orliquidity, risk mitigation and market protections, as will be describedbelow.

In the exemplary embodiments, incoming data transaction messages areultimately received at the electronic trading system 100 via one of setof ingress points, and outgoing data transaction messages ultimatelyleave the electronic trading system 100 at via one of a set of egresspoints, at the edge 142 of the electronic trading system 100, eachingress/egress point generally defining a single point of entry/exit,i.e. a single communications interface, at which the disclosedembodiments apply determinism, which as described is moved away from thepoint where matching occurs and closer to the point where the electronictrading system first becomes “aware” of the incoming transaction or lastcontrols an outgoing message. This may require improving the performanceof this communications interface to process the influx oftransactions/outflux of messages without being overwhelmed. As describedherein, in some implementations, more data transaction messages/ordersmay be submitted by market participants via more ingress points and moremessages may be communicated to market participants via more egresspoints, i.e. parallel inputs/channels/communications pathwaysimplemented to increase capacity and/or reduce resource contention.However, for many of the reasons described above, parallel communicationpaths complicate deterministic behavior, e.g. by creating opportunity,such a via asymmetric latencies/delays among communications paths, forlater transmitted or arriving transactions to overtake earlier arrivingor transmitted transactions and for inequities in the receipt ofmessages, and may require mechanisms to discriminate among closelyreceived transactions and arbitrate among simultaneously, orsubstantially simultaneously, received transactions, e.g. transactionsreceived at the same time or received within a threshold of timeunresolvable by the system. Accordingly, mechanisms may be implementedto improve and impart deterministic handling of discrimination andarbitration among closely received transactions. In particular, as willbe described, the disclosed embodiments mitigate latency disparities bynormalizing the latencies among disparate communications paths.

In particular, FIG. 2 depicts a block diagram of a transactionprocessing system 200, which may also be referred to as an architecture,for use with the electronic trading system 100 of FIG. 1 for processinga plurality, e.g. a series or sequence, of incoming data transactionmessages comprising, for example, financial transactions, such as ordersto trade a financial product, received from various sources, e.g. marketparticipants 204 (traders/trader terminals), via a network, such as thenetwork 126 of FIG. 1 or other method/medium of communicating with thetransaction processing system 100 (not shown in FIG. 2), the processingof each transaction operative to cause a change in a current state of anelectronic marketplace for one or more financial products and generationof a message comprising a result thereof for transmission to the marketparticipants. In one embodiment, each transaction message may comprise arequest to transact, e.g. an order to buy or sell, one or more financialproducts, or data indicative a result thereof. A request to transact mayfurther comprise a request to cancel a previous transaction, a statusinquiry or other transaction.

The system 200 includes a plurality of transaction message receivers202A, 202B, 226, located at various ingress/egress points along the edge142 of the electronic trading system 100 as well as associated with eachof the processing components, e.g. the internal functional modules 102,104, 106, 108, 110, 112, 134, 136, 140, of the system 100. Eachtransaction message receiver 202A, 202B, 226 may be implemented by anetwork switch, router, gateway or other device used to interconnectelectronic communications networks. Further, each transaction messagereceiver 202A, 202B, 226 may be implemented as one or more logiccomponents such as on an FPGA which may include a memory orreconfigurable component to store logic and processing component toexecute the stored logic, coupled with the network 126 (not shown), andoperative to receive each of the plurality of data transaction messagestherefrom. It will be appreciated that each of the transaction messagereceivers 202A, 202B, 226 may be located in a logical and/or physical,e.g. geographic, location that is different from another of thetransaction message receivers 202A, 202B, 226, as well as the processingcomponent 222.

In particular, the transaction processing system 100 for processing adata transaction message, of a plurality of data transaction messages,by a transaction processor 228, further includes: a plurality of messagereceivers 202A 202B 226 coupled with the transaction processing system100, each of the plurality message receivers 202 a 202B 226 beingcharacterized by a transmission latency from the message receiver 202A226 to another of the plurality of message receivers 202A 226, at leastone of the plurality of message receivers 202A 202B 226 being coupledwith a transaction processor 228; and wherein each message receiver 202A202B 226 of the plurality of message receivers 202A 202B 226 isconfigured to receive, such as via a network interface 204, a datatransaction message of the plurality of data transaction messages,augment, such as by using a clock 208 and packet modifier 210, the datatransaction message with data indicative of a time of receipt by themessage receiver 202A 226 and transmit, such as via a network interface206, the augmented data transaction message to another of the pluralityof message receivers 202A 226, such as via the network infrastructure212 coupled with the interface 206; and wherein a receiving messagereceiver 202A 226 of the plurality of the message receivers 202A 202B226 is further configured to receive, such as via the interface 206, theaugmented data transaction message from the transmitting messagereceiver 202A 226, compute, such as by using a processor 214, based onthe data indicative of the time of receipt thereby, e.g. based on clock208, of the data transaction message, an amount of time elapsed betweenwhen the transmitting message receiver 202A 226 received the datatransaction message and when the receiving message receiver 202A 226received the augmented data transaction message from the transmittingmessage receiver 202A 226, determine a difference, using the processor214, between the computed amount of time and a defined amount of time,and defer processing, such as by buffering or otherwise delaying 216, ofthe augmented data transaction message by the transaction processor 228,e.g. the processing component 222 thereof, associated with the receivingmessage receiver 202A 226 for an amount of time equal to the determineddifference when the computed amount of time is less than the definedamount of time. The defined amount of time may be defined is advance asa standard latency/transit time to be applied to all messages as wasdescribed above.

In one embodiment, the receiving message receiver 202A 226 is furtherconfigured to receive another augmented data transaction message fromanother message receiver 202B of the plurality of message receivers 202A202B 226 having a lower transmission latency, the other augmented datatransaction message comprising another data transaction message receivedsubsequent to the data transaction request message, compute 214, basedon the data indicative of the time of receipt thereby of the other datatransaction message, another amount of time elapsed between when theother transmitting message receiver 202B received the other datatransaction message and when the receiving message receiver 202A 226received the other augmented data transaction message from the othertransmitting message receiver 202B, determine 214 a difference betweenthe computed other amount of time and the defined amount of time, anddefer 216 processing of the other augmented data transaction message bythe transaction processor 228, e.g. the processing component 222thereof, associated with the receiving message receiver 202A 226 for anamount of time equal to the determined difference when the computedother amount of time is less than the defined amount of time, whereinthe transaction processor 228 associated with the receiving messagereceiver 202A 226 processes the augmented data transaction messagebefore the other augmented data transaction message.

In one embodiment, the receiving message receiver 202A 226 is furtherconfigured to receive another augmented data transaction message fromanother message receiver 202B of the plurality of message receivers 202A202B 226 having a lower transmission latency, the other augmented datatransaction message comprising another data transaction message receivedsubstantially simultaneously with the data transaction request message,compute 214, based on the data indicative of the time of receipt therebyof the other data transaction message, another amount of time elapsedbetween when the other transmitting message receiver 202B received theother data transaction message and when the receiving message receiver202A 226 received the other augmented data transaction message from theother transmitting message receiver 202B, determine 214 a differencebetween the computed other amount of time and the defined amount oftime, and defer 216 processing of the other augmented data transactionmessage by the transaction processor 228, e.g. the processing componentthereof, associated with the receiving message receiver 202A 226 for anamount of time equal to the determined difference when the computedother amount of time is less than the defined amount of time, whereinthe deferrals of the processing of the augmented data transactionmessage and other augmented data transaction message expiresimultaneously, the transaction processor 228 associated with thereceiving message receiver 202A 226 being further operative to pseudorandomly select which to process first. In an alternative embodiment,the receiving message receiver 202A 226 determines which to processfirst.

In one embodiment, if the amount of time is not less than the definedamount of time, the augmented data transaction message is processed uponreceipt by the transaction processor 228 associated with the receivingmessage receiver 202A 226.

In one embodiment, the transmission latency of each message receiver isdynamic.

In one embodiment, the defined amount of time is derived from thetransmission latencies of the plurality of message receivers 202A 202B226. As was described above, the defined amount of time, i.e. thestandard latency, may be statically or dynamically defined, as describedabove.

In one embodiment, at least one of the messages receivers 202A 202B 226of the plurality of message receivers 202A 202B 226 is located in ageographic region different from a geographic location of another of theplurality of message receivers.

In one embodiment, each of the plurality of message receivers 202A 202B226 comprises a sub-network coupled with each other via an intermediarynetwork 212.

In one embodiment, the defined amount of time is dynamically definedbased on the magnitude of the computed amount of time as compared withother received augmented data transaction messages.

In one embodiment, each of the plurality of message receivers 202A 202B226 comprises a clock 208, each of the plurality of message receiversbeing further operative to synchronize their clock to a master clock(not shown). In one embodiment, the master clock comprises a singleoscillator crystal coupled with the plurality of message receivers 202A202B 226 via a splitter. In one embodiment, the master clock may utilizeGPS or an atomic clock.

In one embodiment, the transmission latency of each of the plurality ofmessage receivers 202A 202B 226 is dependent upon both the physicaldistance between the message receivers 202A 202B 226 and a number andtype of networking devices (not shown) through, which the augmented datatransaction message must transit en route there between.

In one embodiment, each of the plurality of message receivers 202A 202B226 comprises a layer 2 switch and further wherein each of the pluralityof data transaction messages comprises a data packet.

In one embodiment, the transaction processor 228 associated with thereceiving message receiver 202A 202B 226 is further operative to processthe augmented data transaction message by forwarding the augmented datatransaction message to a destination device 222.

In one embodiment, the packet modifier 210 which augments the datatransaction messages and/or the processor 214 and delay 216 may beimplemented as an FPGA coupled with a network switch. It will beappreciated that the delay 216 which defers processing of the datatransaction messages may be implemented as buffer which stores the datatransaction message for the requisite amount of time and may comprise amemory with a timer, a series of memories sized to sufficiently delaythe data transaction message, other mechanism to introduce a variabledelay.

An example of the operation of the disclosed embodiments is shown in thetable below. In the example, the standardized/predefined latency is 10milliseconds:

Arrival Path Arrival at Process Msg Time Latency Receiver AdjustmentTime 1 t0 3 t3 7 t10 2 t0 4 t4 6 t10 3 t1 2 t3 8 t11 4 t2 1 t3 9 t12

Where the arrival time is the time at which the message arrives at amessage receiver 202A 202B 226. The path latency is the latency of theparticular network path 212 between the transmitting message receiver202A 202B 226 and the receiving message receiver 202A 202B 226. Thearrival time at the receiver is the time when the receiving messagereceiver 202A 202B 226 receives the augmented data transaction messagefrom the transmitting message receiver 202A 202B 226. The Adjustmentrepresents how long the processing of the augmented data transactionmessage will be delayed. The process time is the time when the receivingmessage receiver 202 a 202B 226 forwards the delayed data transactionmessage for processing.

FIG. 3 depicts a flow chart 300 showing operation of the system 200 ofFIG. 2. In particular FIG. 3 shows a computer and/or FPGA implementedmethod of processing a data transaction message, of a plurality of datatransaction messages, e.g. data packets comprising orders to tradefinancial instruments or data indicative of a result thereof, by atransaction processing system 200, of an electronic trading system 100,which receives the data transaction message via one of a plurality ofmessage receivers 202A, 202B, 226 coupled with a processingcomponent/transaction processor 222 of the transaction processingsystem, e.g. a match engine module 106, network transceiver, etc., eachof the plurality message receivers 202A, 202B, 226 being characterizedby a transmission latency from the message receiver to another messagereceiver, i.e. via the network connections 212A, 212B therebetween andthe variances in latencies thereof. The transmission latencies of eachconnection 212A, 212B may comprise a static latency, a dynamic latencyor a combination thereof.

As described above, the transaction processor 222 is operative toprocess the message or content thereof. For message receivers 202A, 202Blocated at the edge 142 of the trading system 100, the operation of thetransaction processor 222 may be to process a data message fortransmission outside of the trading system 100, e.g. over the externalnetwork coupled therewith at the particular egress point. For example,the operation may include multi-casting the message, etc. For messagereceivers 226 located in conjunction with the transaction processors 222which implement the functional modules 102, 104, 106, 108, 110, 112,134, 136, 140 of the trading system 100, the transaction processor 222may comprise the components/operations necessary to implement theparticular processing function thereof, e.g. matching of transactions,generating market data etc.

The operation of the system 200 comprises: receiving, by a processor 210of a first message receiver 202A of the plurality of messages receivers202A, 202B, 226, such as a message receiver 202A located at the edge ofthe trading system 100 or, alternatively at a message receiver 226associated with a functional module 102, 104, 106, 108, 110, 112, 134,136, 140 thereof, a first data transaction message of the plurality ofdata transaction messages (Block 302); augmenting, by the processor 210of the first message receiver 202A 226, the first data transactionmessage with data indicative of a time of receipt by the first messagereceiver 202A 226 (Block 304); transmitting, by the processor 210 of thefirst message receiver 202A 226, the augmented first data transactionmessage to the transaction processor 228 (Block 306), such as vianetwork interface 206 coupled with the network infrastructure 212 of theelectronic trading system 100; receiving, by a message receiver 202A 226associated with the transaction processor 228, the augmented first datatransaction message (Block 308); computing, by the message receiver 202A226 associated with the transaction processor 228 based on the dataindicative of the time of receipt by the processor 210 of the firstmessage receiver 202A 226 of the first data transaction message, a firstamount of time elapsed between when the processor 210 of the firstmessage receiver 202A 226 received the first data transaction messageand when the message receiver 202A 226 associated with the transactionprocessor 106 received the augmented first data transaction message fromthe first message receiver 202A 226 (Block 310); determining, by themessage receiver 202A 226 of the transaction processor 106, a firstdifference between the first amount of time and a defined amount oftime/standard latency (Block 312); and deferring, by the messagereceiver 202A 226 of the transaction processor 106, processing of theaugmented first data transaction message by the transaction processor228, e.g. by a processing component 222 thereof, for an amount of timeequal to the first difference when the first amount of time is less thanthe defined amount of time (Block 314).

The operation of the system 200, in one embodiment, may further includereceiving, by a processor 210 of a second message receiver 202B of theplurality of messages receivers 202A, 202B, 262, which may be located ina different geographic region than the first message receiver 202A 226and/or the transaction processor 228, subsequent to the reception of thefirst data transaction message by the first message receiver 202A 226, asecond data transaction message of the plurality of data transactionmessages, the transmission latency of the second message receiver 202Bbeing less than the transmission latency of the first message receiver202A 226; augmenting, by the processor 210 of the second messagereceiver 202B, the second data transaction message with data indicativeof a time of receipt by the second message receiver 202B; transmitting,by the processor 210 of the second message receiver 202B, the augmentedsecond data transaction message to the transaction processor 106;receiving, by the message receiver 202A 226 associated with thetransaction processor 228, the augmented second data transaction messageprior to receipt thereby of the first augmented data transactionmessage; computing, by the message receiver 202A 226 associated with thetransaction processor 228 based on the data indicative of the time ofreceipt by the processor 210 of the second message receiver 202B of thesecond data transaction message, a second amount of time elapsed betweenwhen the processor 210 of the second message receiver 202B received thesecond data transaction message and when the message receiver 202A 226of the transaction processor 228 received the augmented second datatransaction message from the second message receiver 202B; determining,by the message receiver 202A 226 associated with the transactionprocessor 228, a second difference between the second amount of time andthe defined amount of time, the second difference between greater thanthe first difference; and deferring, by the message receiver 202A 226associated with the transaction processor 228, processing, e.g. by aprocessing component 222 thereof, of the augmented second datatransaction message by the transaction processor 106 for an amount oftime equal to the second difference when the second amount of time isless than the defined amount of time; and wherein the transactionprocessor 228 processes, e.g. using a processing component 222, thefirst augmented data transaction message prior to the second augmenteddata transaction message.

The operation of the system 200, in one embodiment, may further include,if the first amount of time is not less than the defined amount of time,processing, e.g. by the processing component 222, the augmented firstdata transaction message upon receipt by the transaction processor(Block 316).

In one embodiment, the defined amount of time may be derived from thetransmission latencies of the plurality of message receivers.

In one embodiment, each of the plurality of message receivers 202A,202B, 202C comprises a sub-network coupled together via an intermediarynetwork 212.

In one embodiment, the defined amount of time is dynamically definedbased on the magnitude of the first amount of time as compared withother received augmented data transaction messages.

In one embodiment, the processor 210 of each of the plurality of messagereceivers 202A, 202B, 226 comprises a clock 208, the operation of thesystem 200 further comprising synchronizing the clocks 208 of theplurality of message receivers 202A, 202B, 226 to a master clock (notshown).

In one embodiment, at least a portion of the transmission latency ofeach of the plurality of message receivers 202A, 202B, 226 is dependentupon both the physical distance between the message receiver 202A, 202B,226 and a number and type of networking devices 212A, 212B, 212Cthrough, which the data transaction message must transit en routetherebetween.

In one embodiment, each of the plurality of message receivers 202A,202B, 226 comprises a layer 2 switch and further wherein each of theplurality of data transaction messages comprises a data packet.

The operation of the system 200, in one embodiment, may further includeforwarding the augmented first data transaction message to a destinationdevice, such as the processing component 222.

The operation of the system 200, in one embodiment, may further include:receiving, by a processor 210 of a second message receiver 202B of theplurality of messages receivers 202A, 202B, 226, which may be logicallyand/or physically located in a location different from the first messagereceiver 202A 226 and/or the transaction processor 228, substantiallysimultaneously with the reception of the first data transaction messageby the first message receiver 202A 226, a second data transactionmessage of the plurality of data transaction messages, the transmissionlatency of the second message receiver 202B being less than thetransmission latency of the first message receiver 202A 226; augmenting,by the processor 210 of the second message receiver 202B, the seconddata transaction message with data indicative of a time of receipt bythe second message receiver 202B, the time of receipt of the of thesecond data transaction message being the same as the time of receipt ofthe first data transaction request message; transmitting, by theprocessor 210 of the second message receiver 202B, the augmented seconddata transaction message to the transaction processor 228; receiving, bythe message receiver 202A 226 associated with the transaction processor228, the augmented second data transaction message prior to receiptthereby of the first augmented data transaction message; computing, bythe message receiver 202A 226 associated with the transaction processor228 based on the data indicative of the time of receipt by the processor210 of the second message receiver 202B of the second data transactionmessage, a second amount of time elapsed between when the processor 210of the second message receiver 202C received the second data transactionmessage and when the message receiver 202A 226 associated with thetransaction processor 228 received the augmented second data transactionmessage from the second message receiver 202C; determining, by themessage receiver 202A 226 associated with the transaction processor 106,a second difference between the second amount of time and the definedamount of time, the second difference between greater than the firstdifference; and deferring, by the message receiver 202A 226 associatedwith the transaction processor 106, processing of the augmented seconddata transaction message by the transaction processor 106 for an amountof time equal to the second difference when the second amount of time isless than the defined amount of time, both the deferrals of the firstand second augmented data transaction request messages expiringsimultaneously; and selecting pseudo randomly, by the message receiver202A 226 associated with the transaction processor 228, which of theaugmented first and second data transaction messages to process first,e.g. by the processing component 222. It will be appreciated that otherselection/arbitration mechanisms may be applied to determine which datatransaction message to process first, such as round robin, etc.

While the disclosed embodiments described a symmetric implementationwhereby latencies are bidirectionally normalized, e.g. incomingtransaction message latencies are normalized to their destinationcomponents and outgoing data message latencies are normalized to thesystem egress points, it will be appreciated that the disclosedembodiments may by asymmetrically implemented where only inbound messagelatencies or only outbound messages latencies are normalized.

One skilled in the art will appreciate that one or morefunctions/modules described herein may be implemented using, among otherthings, a logic component such as a reconfigurable logic component, e.g.an FPGA, which may include a logical processing portion coupled with amemory portion, or as a tangible computer-readable medium comprisingcomputer-executable instructions (e.g., executable software code)executable by a processor coupled therewith to implement thefunction(s). Alternatively, functions/modules may be implemented assoftware code, firmware code, hardware, and/or a combination of theaforementioned. For example the functions/modules may be embodied aspart of an electronic trading system 100 for financial instruments.

Referring to FIG. 4, an illustrative embodiment of a general computersystem 400 is shown. The computer system 400 can include a set ofinstructions that can be executed to cause the computer system 400 toperform any one or more of the methods or computer based functionsdisclosed herein. The computer system 400 may operate as a standalonedevice or may be connected, e.g., using a network, to other computersystems or peripheral devices. Any of the components of the electronictrading system 100 discussed above may be a computer system 400 or acomponent in the computer system 400. The computer system 400 mayimplement a match engine, margin processing, payment or clearingfunction on behalf of an exchange, such as the Chicago MercantileExchange, of which the disclosed embodiments are a component thereof.

In a networked deployment, the computer system 400 may operate in thecapacity of a server or as a client user computer in a client-serveruser network environment, as a peer computer system in a peer-to-peer(or distributed) network environment, or as a network device such as aswitch, gateway or router. The computer system 400 can also beimplemented as or incorporated into various devices, such as a personalcomputer (PC), a tablet PC, a set-top box (STB), a personal digitalassistant (PDA), a mobile device, a palmtop computer, a laptop computer,a desktop computer, a communications device, a wireless telephone, aland-line telephone, a control system, a camera, a scanner, a facsimilemachine, a printer, a pager, a personal trusted device, a web appliance,a network router, switch or bridge, or any other machine capable ofexecuting a set of instructions (sequential or otherwise) that specifyactions to be taken by that machine. In a particular embodiment, thecomputer system 400 can be implemented using electronic devices thatprovide voice, video or data communication. Further, while a singlecomputer system 400 is illustrated, the term “system” shall also betaken to include any collection of systems or sub-systems thatindividually or jointly execute a set, or multiple sets, of instructionsto perform one or more computer functions.

As illustrated in FIG. 4, the computer system 400 may include aprocessor 402, e.g., a central processing unit (CPU), a graphicsprocessing unit (GPU), or both. The processor 402 may be a component ina variety of systems. For example, the processor 402 may be part of astandard personal computer or a workstation. The processor 402 may beone or more general processors, digital signal processors, applicationspecific integrated circuits, field programmable gate arrays, servers,networks, digital circuits, analog circuits, combinations thereof, orother now known or later developed devices for analyzing and processingdata. The processor 402 may implement a software program, such as codegenerated manually (i.e., programmed).

The computer system 400 may include a memory 404 that can communicatevia a bus 408. The memory 404 may be a main memory, a static memory, ora dynamic memory. The memory 404 may include, but is not limited tocomputer readable storage media such as various types of volatile andnon-volatile storage media, including but not limited to random accessmemory, read-only memory, programmable read-only memory, electricallyprogrammable read-only memory, electrically erasable read-only memory,flash memory, magnetic tape or disk, optical media and the like. In oneembodiment, the memory 404 may be a memory component of a reconfigurablelogic device, e.g. an FPGA. In one embodiment, the memory 404 includes acache or random access memory for the processor 402. In alternativeembodiments, the memory 404 is separate from the processor 402, such asa cache memory of a processor, the system memory, or other memory. Thememory 404 may be an external storage device or database for storingdata. Examples include a hard drive, compact disc (“CD”), digital videodisc (“DVD”), memory card, memory stick, floppy disc, universal serialbus (“USB”) memory device, or any other device operative to store data.The memory 404 is operable to store instructions executable by theprocessor 402. The functions, acts or tasks illustrated in the figuresor described herein may be performed by the programmed processor 402executing the instructions 412 stored in the memory 404. The functions,acts or tasks are independent of the particular type of instructionsset, storage media, processor or processing strategy and may beperformed by software, hardware, integrated circuits, firm-ware,micro-code and the like, operating alone or in combination. Likewise,processing strategies may include multiprocessing, multitasking,parallel processing and the like.

As shown, the computer system 400 may further include a display unit414, such as a liquid crystal display (LCD), an organic light emittingdiode (OLED), a flat panel display, a solid state display, a cathode raytube (CRT), a projector, a printer or other now known or later developeddisplay device for outputting determined information. The display 414may act as an interface for the user to see the functioning of theprocessor 402, or specifically as an interface with the software storedin the memory 404 or in the drive unit 406.

Additionally, the computer system 400 may include an input device 416configured to allow a user to interact with any of the components ofsystem 400. The input device 416 may be a number pad, a keyboard, or acursor control device, such as a mouse, or a joystick, touch screendisplay, remote control or any other device operative to interact withthe system 400.

In a particular embodiment, as depicted in FIG. 4, the computer system400 may also include a disk or optical drive unit 406. The disk driveunit 406 may include a computer-readable medium 410 in which one or moresets of instructions 412, e.g. software, can be embedded. Further, theinstructions 412 may embody one or more of the methods or logic asdescribed herein. In a particular embodiment, the instructions 412 mayreside completely, or at least partially, within the memory 404 and/orwithin the processor 402 during execution by the computer system 400.The memory 404 and the processor 402 also may include computer-readablemedia as discussed above.

The present disclosure contemplates a computer-readable medium thatincludes instructions 412 or receives and executes instructions 412responsive to a propagated signal, so that a device connected to anetwork 420 can communicate voice, video, audio, images or any otherdata over the network 420. Further, the instructions 412 may betransmitted or received over the network 420 via a communicationinterface 418. The communication interface 418 may be a part of theprocessor 402 or may be a separate component. The communicationinterface 418 may be created in software or may be a physical connectionin hardware. The communication interface 418 is configured to connectwith a network 420, external media, the display 414, or any othercomponents in system 400, or combinations thereof. The connection withthe network 420 may be a physical connection, such as a wired Ethernetconnection or may be established wirelessly as discussed below.Likewise, the additional connections with other components of the system400 may be physical connections or may be established wirelessly.

The network 420 may include wired networks, wireless networks, orcombinations thereof. The wireless network may be a cellular telephonenetwork, an 802.11, 802.16, 802.20, or WiMax network. Further, thenetwork 420 may be a public network, such as the Internet, a privatenetwork, such as an intranet, or combinations thereof, and may utilize avariety of networking protocols now available or later developedincluding, but not limited to TCP/IP based networking protocols.

Embodiments of the subject matter and the functional operationsdescribed in this specification can be implemented in digital electroniccircuitry, or in computer software, firmware, or hardware, including thestructures disclosed in this specification and their structuralequivalents, or in combinations of one or more of them. Embodiments ofthe subject matter described in this specification can be implemented asone or more computer program products, i.e., one or more modules ofcomputer program instructions encoded on a computer readable medium forexecution by, or to control the operation of, data processing apparatus.While the computer-readable medium is shown to be a single medium, theterm “computer-readable medium” includes a single medium or multiplemedia, such as a centralized or distributed database, and/or associatedcaches and servers that store one or more sets of instructions. The term“computer-readable medium” shall also include any medium that is capableof storing, encoding or carrying a set of instructions for execution bya processor or that cause a computer system to perform any one or moreof the methods or operations disclosed herein. The computer readablemedium can be a machine-readable storage device, a machine-readablestorage substrate, a memory device, or a combination of one or more ofthem. The term “data processing apparatus” encompasses all apparatus,devices, and machines for processing data, including by way of example aprogrammable processor, a computer, or multiple processors or computers.The apparatus can include, in addition to hardware, code that creates anexecution environment for the computer program in question, e.g., codethat constitutes processor firmware, a protocol stack, a databasemanagement system, an operating system, or a combination of one or moreof them.

In a particular non-limiting, exemplary embodiment, thecomputer-readable medium can include a solid-state memory such as amemory card or other package that houses one or more non-volatileread-only memories. Further, the computer-readable medium can be arandom access memory or other volatile re-writable memory. Additionally,the computer-readable medium can include a magneto-optical or opticalmedium, such as a disk or tapes or other storage device to capturecarrier wave signals such as a signal communicated over a transmissionmedium. A digital file attachment to an e-mail or other self-containedinformation archive or set of archives may be considered a distributionmedium that is a tangible storage medium. Accordingly, the disclosure isconsidered to include any one or more of a computer-readable medium or adistribution medium and other equivalents and successor media, in whichdata or instructions may be stored.

In an alternative embodiment, dedicated hardware implementations, suchas application specific integrated circuits, programmable logic arraysand other hardware devices, can be constructed to implement one or moreof the methods described herein. Applications that may include theapparatus and systems of various embodiments can broadly include avariety of electronic and computer systems. One or more embodimentsdescribed herein may implement functions using two or more specificinterconnected hardware modules or devices with related control and datasignals that can be communicated between and through the modules, or asportions of an application-specific integrated circuit. Accordingly, thepresent system encompasses software, firmware, and hardwareimplementations.

In accordance with various embodiments of the present disclosure, themethods described herein may be implemented by software programsexecutable by a computer system. Further, in an exemplary, non-limitedembodiment, implementations can include distributed processing,component/object distributed processing, and parallel processing.Alternatively, virtual computer system processing can be constructed toimplement one or more of the methods or functionality as describedherein.

Although the present specification describes components and functionsthat may be implemented in particular embodiments with reference toparticular standards and protocols, the invention is not limited to suchstandards and protocols. For example, standards for Internet and otherpacket switched network transmission (e.g., TCP/IP, UDP/IP, HTML, HTTP,HTTPS) represent examples of the state of the art. Such standards areperiodically superseded by faster or more efficient equivalents havingessentially the same functions. Accordingly, replacement standards andprotocols having the same or similar functions as those disclosed hereinare considered equivalents thereof.

A computer program (also known as a program, software, softwareapplication, script, or code) can be written in any form of programminglanguage, including compiled or interpreted languages, and it can bedeployed in any form, including as a standalone program or as a module,component, subroutine, or other unit suitable for use in a computingenvironment. A computer program does not necessarily correspond to afile in a file system. A program can be stored in a portion of a filethat holds other programs or data (e.g., one or more scripts stored in amarkup language document), in a single file dedicated to the program inquestion, or in multiple coordinated files (e.g., files that store oneor more modules, sub programs, or portions of code). A computer programcan be deployed to be executed on one computer or on multiple computersthat are located at one site or distributed across multiple sites andinterconnected by a communication network.

The processes and logic flows described in this specification can beperformed by one or more programmable processors executing one or morecomputer programs to perform functions by operating on input data andgenerating output. The processes and logic flows can also be performedby, and apparatus can also be implemented as, special purpose logiccircuitry, e.g., an FPGA (field programmable gate array) or an ASIC(application specific integrated circuit).

Processors suitable for the execution of a computer program include, byway of example, both general and special purpose microprocessors, andanyone or more processors of any kind of digital computer. Generally, aprocessor will receive instructions and data from a read only memory ora random access memory or both. The essential elements of a computer area processor for performing instructions and one or more memory devicesfor storing instructions and data. Generally, a computer will alsoinclude, or be operatively coupled to receive data from or transfer datato, or both, one or more mass storage devices for storing data, e.g.,magnetic, magneto optical disks, or optical disks. However, a computerneed not have such devices. Moreover, a computer can be embedded inanother device, e.g., a mobile telephone, a personal digital assistant(PDA), a mobile audio player, a Global Positioning System (GPS)receiver, to name just a few. Computer readable media suitable forstoring computer program instructions and data include all forms ofnon-volatile memory, media and memory devices, including by way ofexample semiconductor memory devices, e.g., EPROM, EEPROM, and flashmemory devices; magnetic disks, e.g., internal hard disks or removabledisks; magneto optical disks; and CD ROM and DVD-ROM disks. Theprocessor and the memory can be supplemented by, or incorporated in,special purpose logic circuitry.

To provide for interaction with a user, embodiments of the subjectmatter described in this specification can be implemented on a devicehaving a display, e.g., a CRT (cathode ray tube) or LCD (liquid crystaldisplay) monitor, for displaying information to the user and a keyboardand a pointing device, e.g., a mouse or a trackball, by which the usercan provide input to the computer. Other kinds of devices can be used toprovide for interaction with a user as well; for example, feedbackprovided to the user can be any form of sensory feedback, e.g., visualfeedback, auditory feedback, or tactile feedback; and input from theuser can be received in any form, including acoustic, speech, or tactileinput.

Embodiments of the subject matter described in this specification can beimplemented in a computing system that includes a back end component,e.g., as a data server, or that includes a middleware component, e.g.,an application server, or that includes a front end component, e.g., aclient computer having a graphical user interface or a Web browserthrough which a user can interact with an implementation of the subjectmatter described in this specification, or any combination of one ormore such back end, middleware, or front end components. The componentsof the system can be interconnected by any form or medium of digitaldata communication, e.g., a communication network. Examples ofcommunication networks include a local area network (“LAN”) and a widearea network (“WAN”), e.g., the Internet.

The computing system can include clients and servers. A client andserver are generally remote from each other and typically interactthrough a communication network. The relationship of client and serverarises by virtue of computer programs running on the respectivecomputers and having a client-server relationship to each other.

The illustrations of the embodiments described herein are intended toprovide a general understanding of the structure of the variousembodiments. The illustrations are not intended to serve as a completedescription of all of the elements and features of apparatus and systemsthat utilize the structures or methods described herein. Many otherembodiments may be apparent to those of skill in the art upon reviewingthe disclosure. Other embodiments may be utilized and derived from thedisclosure, such that structural and logical substitutions and changesmay be made without departing from the scope of the disclosure.Additionally, the illustrations are merely representational and may notbe drawn to scale. Certain proportions within the illustrations may beexaggerated, while other proportions may be minimized. Accordingly, thedisclosure and the figures are to be regarded as illustrative ratherthan restrictive.

While this specification contains many specifics, these should not beconstrued as limitations on the scope of the invention or of what may beclaimed, but rather as descriptions of features specific to particularembodiments of the invention. Certain features that are described inthis specification in the context of separate embodiments can also beimplemented in combination in a single embodiment. Conversely, variousfeatures that are described in the context of a single embodiment canalso be implemented in multiple embodiments separately or in anysuitable sub-combination. Moreover, although features may be describedabove as acting in certain combinations and even initially claimed assuch, one or more features from a claimed combination can in some casesbe excised from the combination, and the claimed combination may bedirected to a sub-combination or variation of a sub-combination.

Similarly, while operations are depicted in the drawings and describedherein in a particular order, this should not be understood as requiringthat such operations be performed in the particular order shown or insequential order, or that all illustrated operations be performed, toachieve desirable results. In certain circumstances, multitasking andparallel processing may be advantageous. Moreover, the separation ofvarious system components in the embodiments described above should notbe understood as requiring such separation in all embodiments, and itshould be understood that the described program components and systemscan generally be integrated together in a single software product orpackaged into multiple software products.

One or more embodiments of the disclosure may be referred to herein,individually and/or collectively, by the term “invention” merely forconvenience and without intending to voluntarily limit the scope of thisapplication to any particular invention or inventive concept. Moreover,although specific embodiments have been illustrated and describedherein, it should be appreciated that any subsequent arrangementdesigned to achieve the same or similar purpose may be substituted forthe specific embodiments shown. This disclosure is intended to cover anyand all subsequent adaptations or variations of various embodiments.Combinations of the above embodiments, and other embodiments notspecifically described herein, will be apparent to those of skill in theart upon reviewing the description.

The Abstract of the Disclosure is provided to comply with 37 C.F.R. §1.72(b) and is submitted with the understanding that it will not be usedto interpret or limit the scope or meaning of the claims. In addition,in the foregoing Detailed Description, various features may be groupedtogether or described in a single embodiment for the purpose ofstreamlining the disclosure. This disclosure is not to be interpreted asreflecting an intention that the claimed embodiments require morefeatures than are expressly recited in each claim. Rather, as thefollowing claims reflect, inventive subject matter may be directed toless than all of the features of any of the disclosed embodiments. Thus,the following claims are incorporated into the Detailed Description,with each claim standing on its own as defining separately claimedsubject matter.

It is therefore intended that the foregoing detailed description beregarded as illustrative rather than limiting, and that it be understoodthat it is the following claims, including all equivalents, that areintended to define the spirit and scope of this invention.

What is claimed is:
 1. A computer implemented method comprising:receiving, by a message receiver of a transaction processor, anaugmented first data transaction message transmitted to the transactionprocessor by one of a plurality of message receivers coupled therewithvia an electronic communications network, each of the plurality ofmessage receivers being configured to, upon receipt of a datatransaction message, augment the received data transaction message withdata indicative of a time of receipt thereby and transmit the augmenteddata transaction message to the transaction processor, each of theplurality message receivers being characterized by a transmissionlatency from the message receiver to the transaction processor;computing, by the message receiver of the transaction processor, basedon the data indicative of the time of receipt, a first amount of timeelapsed between the time of receipt of the first data transactionmessage and when the message receiver of the transaction processorreceived the augmented first data transaction message; determining, bythe message receiver of the transaction processor, a first differencebetween the first amount of time and a defined amount of time; anddeferring, by the message receiver of the transaction processor,processing of the augmented first data transaction message by thetransaction processor for an amount of time equal to the firstdifference when the first amount of time is less than the defined amountof time.
 2. The computer implemented method of claim 1 furthercomprising: receiving, by the message receiver of the transactionprocessor prior to receipt thereby of the first augmented datatransaction message, an augmented second data transaction messagetransmitted to the transaction processor by one of the plurality ofmessage receivers; computing, by the message receiver of the transactionprocessor, based on the data indicative of the time of receipt, a secondamount of time elapsed between the time of receipt of the second datatransaction request message and when the message receiver of thetransaction processor received the augmented second data transactionmessage; determining, by the message receiver of the transactionprocessor, a second difference between the second amount of time and thedefined amount of time; and deferring, by the message receiver of thetransaction processor, processing of the augmented second datatransaction message by the transaction processor for an amount of timeequal to the second difference; and wherein the transaction processorprocesses the augmented first data transaction message and the augmentedsecond data transaction message subsequent to the end of theirrespective deferrals, the augmented first data transaction message beingprocessed prior to the augmented second data transaction message whenthe second data transaction request message was received subsequent tothe first data transaction request message.
 3. The computer implementedmethod of claim 1, wherein, if the first amount of time is not less thanthe defined amount of time, processing the augmented first datatransaction message upon receipt by the transaction processor.
 4. Thecomputer implemented method of claim 1, wherein the transmission latencyof each message receiver is dynamic.
 5. The computer implemented methodof claim 1, wherein the defined amount of time is derived from thetransmission latencies of the plurality of message receivers.
 6. Thecomputer implemented method of claim 1, wherein at least one of themessages receivers of the plurality of message receives is located in ageographic region different from a geographic location of another of theplurality of message receivers and different from a location of thetransaction processor.
 7. The computer implemented method of claim 1,wherein each of the plurality of message receivers comprises asub-network coupled with each other via an intermediary network.
 8. Thecomputer implemented method of claim 1, wherein the defined amount oftime is dynamically defined based on the magnitude of the first amountof time as compared with other received augmented data transactionmessages.
 9. The computer implemented method of claim 1, wherein each ofthe plurality of message receivers comprises a clock, the methodcomprising synchronizing the clocks of the plurality of messagereceivers to a master clock.
 10. The computer implemented method ofclaim 1, wherein the transmission latency of each of the plurality ofmessage receivers is dependent upon the physical distance between themessage receivers, a volume of augmented data transaction messages beingtransmitted and a number and type of networking devices through whicheach data transaction message must transit en route therebetween. 11.The computer implemented method of claim 1, wherein each of theplurality of message receivers comprises a layer 2 switch and furtherwherein each of the plurality of data transaction messages comprises adata packet.
 12. The computer implemented of claim 1, wherein each ofthe plurality of message receivers comprises a different ingress pointof a transaction processing system comprising the transaction processor.13. The computer implemented method of claim 1, wherein the processingfurther comprises forwarding the augmented first data transactionmessage to a destination device.
 14. The computer implemented method ofclaim 1 further comprising: receiving, by the message receiver of thetransaction processor prior to receipt thereby of the first augmenteddata transaction message, an augmented second data transaction messagetransmitted to the transaction processor by one of the plurality ofmessage receivers; computing, by the message receiver of the transactionprocessor, based on the data indicative of the time of receipt, a secondamount of time elapsed between the time of receipt of the second datatransaction request message and when the message receiver of thetransaction processor received the augmented second data transactionmessage; determining, by the message receiver of the transactionprocessor, a second difference between the second amount of time and thedefined amount of time; and deferring, by the message receiver of thetransaction processor, processing of the augmented second datatransaction message by the transaction processor for an amount of timeequal to the second difference when the second amount of time is lessthan the defined amount of time; and selecting, pseudo randomly, by themessage receiver associated with the transaction processor, when boththe deferrals of the first and second augmented data transaction requestmessages expire simultaneously, which of the augmented first and seconddata transaction messages to process first.
 15. A system comprising: amessage receiver of a transaction processor configured to receive anaugmented data transaction message transmitted to the transactionprocessor by one of a plurality of message receivers coupled therewithvia an electronic communications network, each of the plurality ofmessage receivers being configured to, upon receipt of a datatransaction message, augment the received data transaction message withdata indicative of a time of receipt thereby and transmit the augmenteddata transaction message to the transaction processor, each of theplurality message receivers being characterized by a transmissionlatency from the message receiver to the transaction processor; themessage receiver of the transaction processor being further configuredto: compute, based on the data indicative of the time of receipt, afirst amount of time elapsed between the time of receipt of the datatransaction message and when the message receiver of the transactionprocessor received the augmented data transaction message; determine afirst difference between the first amount of time and a defined amountof time; and defer processing of the augmented data transaction messageby the transaction processor for an amount of time equal to the firstdifference when the first amount of time is less than the defined amountof time.
 16. The system of claim 15, wherein the message receiver of thetransaction processor is further configured to: receive, prior toreceipt thereby of the augmented data transaction message, anotheraugmented data transaction message transmitted to the transactionprocessor by one of the plurality of message receivers; compute, basedon the data indicative of the time of receipt, a second amount of timeelapsed between the time of receipt of the other data transactionrequest message and when the message receiver of the transactionprocessor received the other augmented data transaction message;determine a second difference between the second amount of time and thedefined amount of time; and defer processing of the other augmented datatransaction message by the transaction processor for an amount of timeequal to the second difference; and wherein the transaction processorprocesses the augmented data transaction message and the other augmenteddata transaction message subsequent to the end of their respectivedeferrals, the augmented data transaction message being processed priorto the other augmented data transaction message when the other datatransaction request message was received subsequent to the datatransaction request message.
 17. The system of claim 15, wherein themessage receiver of the transaction processor is further configured to:receive, prior to receipt thereby of the first augmented datatransaction message, another augmented data transaction messagetransmitted to the transaction processor by one of the plurality ofmessage receivers; compute, based on the data indicative of the time ofreceipt, a second amount of time elapsed between the time of receipt ofthe other data transaction request message and when the message receiverof the transaction processor received the other augmented datatransaction message; determine a second difference between the secondamount of time and the defined amount of time; and defer processing ofthe other augmented data transaction message by the transactionprocessor for an amount of time equal to the second difference when thesecond amount of time is less than the defined amount of time; andselect, pseudo randomly, when both the deferrals of the first and secondaugmented data transaction request messages expire simultaneously, whichof the augmented first and second data transaction messages to processfirst.
 18. The system of claim 15, wherein, if the first amount of timeis not less than the defined amount of time, the augmented datatransaction message is processed upon receipt by the transactionprocessor.
 19. The system of claim 15, wherein the transmission latencyof each message receiver is dynamic.
 20. The system of claim 15, whereinthe defined amount of time is derived from the transmission latencies ofthe plurality of message receivers.
 21. The system of claim 15, whereinat least one of the messages receivers of the plurality of messagereceivers is located in a geographic region different from a geographiclocation of another of the plurality of message receivers and differentfrom a location of the transaction processor.
 22. The system of claim15, wherein each of the plurality of message receivers comprises asub-network coupled with each other via an intermediary network.
 23. Thesystem of claim 15, wherein the defined amount of time is dynamicallydefined based on the magnitude of the computed amount of time ascompared with other received augmented data transaction messages. 24.The system of claim 15, wherein each of the plurality of messagereceivers comprises a clock, each of the plurality of message receiversbeing further operative to synchronize their clock to a master clock.25. The system of claim 15, wherein the transmission latency of each ofthe plurality of message receivers is dependent upon both the physicaldistance between the message receivers, a volume of augmented datatransaction messages being transmitted and a number and type ofnetworking devices through, which each augmented data transactionmessage must transit en route there between.
 26. The system of claim 15,wherein each of the plurality of message receivers comprises a layer 2switch and further wherein each of the plurality of data transactionmessages comprises a data packet.
 27. The system of claim 15, whereineach of the plurality of message receivers comprises a different ingresspoint of a transaction processing system comprising the transactionprocessor.
 28. The system of claim 15, wherein the transaction processorassociated with the receiving message receiver is further operative toprocess the augmented data transaction message by forwarding theaugmented data transaction message to a destination device.
 29. A systemcomprising: means for receiving, at a transaction processor, anaugmented first data transaction message transmitted to the transactionprocessor by one of a plurality of message receivers coupled therewithvia an electronic communications network, each of the plurality ofmessage receivers being configured to, upon receipt of a datatransaction message, augment the received data transaction message withdata indicative of a time of receipt thereby and transmit the augmenteddata transaction message to the transaction processor, each of theplurality message receivers being characterized by a transmissionlatency from the message receiver to the transaction processor; meansfor computing, based on the data indicative of the time of receipt, afirst amount of time elapsed between the time of receipt of the firstdata transaction message and when the message receiver of thetransaction processor received the augmented first data transactionmessage; means for determining a first difference between the firstamount of time and a defined amount of time; and means for deferringprocessing of the augmented first data transaction message by thetransaction processor for an amount of time equal to the firstdifference when the first amount of time is less than the defined amountof time.